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$\sqrt{T}(\hat{b}-b)\sim N(0,E)$, where $E$ is the matrix $\begin{pmatrix}1&0.5\\0.5&3\end{pmatrix}$ and $b= (b1, b2)$.

Q: what is the distribution of AX?

Q2: what is the asymptotic distribution of $b1+b2$ and $b1-b2$?

Q3: what is the Wald Statistic with hypothesis that $b1-b2=0$ and $b2=0$?

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This is a better fit for Cross-Validated. It will probably get a better answer there. – robjohn♦ Feb 1 at 6:24

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