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VFCI / vfciBusinessCycles

Research project exploring the relationship between financial conditions and business cycles.
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F Stats #57

Closed matdehaven closed 4 months ago

matdehaven commented 5 months ago

Test the null hypothesis that all the contemporaneous regression coefficients in the het regression are equal to 0. Amounts to an F-test.

Is there an F-test first stage for SVAR-IVs? Look at weak and strong SVAR-IV instruments.

matdehaven commented 4 months ago

Reporting the Wald test for two step (as is done in STATA).

Wrote a function for the likelihood ratio test for the ML method, but it currently has an error with our data.