Suppose that we estimate a standard linear conditional mean model $y=x_1b_1+x_2b_2+e_t$. Then if the null hypothesis $H_0:b_1=0$ is rejected using t-statistic, is $H_0:b_1=b_2=0$ always rejected using Wald statistic? I feel this is logically true, but don't know how to prove it.
Asked
Active
Viewed 22 times
