How to test significance of jcitest estimates?

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Lisa J.
Lisa J. 2015 年 11 月 5 日
編集済み: Lisa J. 2015 年 11 月 5 日
Hi. I Estimate VEC Model Parameters Using jcitest. Unfortunately, it does not return pValues.
As far as I know, to test the significance of coefficient b_k I can perform a likelihood-ratio test comparing the full model with the restricted model in which b_k = 0. In this case, I would use
h = lratiotest(uLogL,rLogL,dof)
with uLogL = mles_full.rn(m).uLL, rLogL = mles_restricted.rn(m).uLL, and dof = 1. Am I right?
What about the case in which I want to get the mle pvalues? Thank you in advance.

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