I would like to use a Wald test to compare two models.
To give a basic example, let:
$Y_{t}=\alpha+{\phi_1x}_{t-1}+{\beta}_{1}x_{t-1}+{\beta}_{2}x_{t-1}+{\beta}_{3}x_{t-1}+\epsilon_t (A)$
$Y_{t}=\alpha+{\beta}_{1}x_{t-1}+{\beta}_{2}x_{t-1}+{\beta}_{3}x_{t-1}+\epsilon_t (B)$
I have completed a Wald test to test the joint significance of each of the dependent variables. Can anyone see anything statistically wrong with comparing the Wald stat from the two equations.
And apart from this, if the the p-value for model A is larger, does it rule out $\phi$ ?