Computing Wald criteria for nested hypotheses

DOI10.1007/BF02924523MaRDI QIDQ3814627zbMATH OpenFDO

Authors Franz C. Palm, David A. Kodde

Publication date 1988

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02924523

zbMATH Keywords

asymptotically invariantdynamic regression modelgeneralized Wald testnested hypothesesnonlinear transformationstesting the common factor restrictionstraditional Wald test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Wald Criteria for Jointly Testing Equality and Inequality Restrictions
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Cites work

• An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
• Asymptotic least-squares estimation efficiency considerations and applications
• Generalized Wald Methods for Testing Nonlinear Implicit and Overidentifying Restrictions
• scientific article; zbMATH DE number 3539473 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• On Obtaining Large-Sample Tests from Asymptotically Normal Estimators
• Some Tests of Dynamic Specification for a Single Equation
• Some useful equivalence properties of Hausman's test
• Testing the restrictions implied by the rational expectations hypothesis
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large

Cited in

(5)

• Hypothesis testing of common roots
• Wald Criteria for Jointly Testing Equality and Inequality Restrictions
• On the Formulation of Wald Tests of Nonlinear Restrictions
• Invariance and the Wald test
• Testing nested or non-nested hypotheses

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