rollreg2

[byeosik]

Dear Colleagues,

I am estimating a model using recursive least squares with rollreg2 command and onepanel option. For example my model is A= bo +b1+b2+b3+b4+b5. I want to test the hypothesis b1+b2+b3=1 after each window. I would appreciate any help. Thanks in advance.

[Phil Schumm]

I have not used rollreg2, but I presume that this would be just like a standard estimation command. For a Wald test, you would use

test var1 + var2 + var3 = 1

where var1, var2 and var3 are the names of the variables whose coefficients you are testing.

[byeosik]

Thank you for your reply. The problem is after rollreg2 command all the information needed to calculate Wald test is gone (for instance e(V) ), therefore I need to find a way to do Wald test after each window.

[Phil Schumm]

Ah, sorry; that is a problem. I'm afraid I don't have time right now to look into the command, so you'll have to wait for someone who is familiar with it to answer.