[R] about systemfit

From: Martin Ivanov <tramni_at_abv.bg>
Date: Thu 05 Apr 2007 - 17:01:54 GMT


Thank you very much for your responsiveness. Here are the tests that show the same results, as they must:

linear.hypothesis(model=adfResulm,hypothesis.matrix=Rrestr10,test="Chisq"):

 Res.Df     RSS  Df Sum of Sq  Chisq Pr(>Chisq)
1    127  7.3782                                
2    137  7.6848 -10   -0.3066 5.2769      0.872

waldtest.systemfit(object=adfResu,R.restr=Rrestr10):

Wald-test for linear parameter restrictions in equation systems Wald-statistic: 5.277
degrees of freedom: 10
p-value: 0.8719

So the Chisq test with linear.hypothesis from car and the waldtest.systemfit give the same output. But the F test with linear.hypothesis from car and ftest.systemfit give absolutely different results, as I demonstrated in my first post. I have no idea why.

Regards,
Martin



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