FT: (pseudo) t-test for coefficients

[ricfog]

Create

• a function that tests H_0: R beta = r vs. H_1: R beta \neq r, where beta is the regression coefficient
• another function (wrapper of the first) to test H_0: beta = 0 vs. H1: R beta \neq r, but also allows the user to specify the hypotheses such as H_0: beta(i)>=0

[ricfog]

Here is what is done in Stata: lincom and test.
See also the heteroskedasticity-robust Wald statistic in page 48 of Wooldridge - Econometrics Analysis of Cross Section and Panel Data
We should consider whether we want to allow an option for the F-test, a correction for multiple testing via Bonferroni/Sidak/Holm's method