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 ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
