Computing Wald criteria for nested hypotheses

DOI10.1007/BF02924523zbMath0664.62119MaRDI QIDQ3814627

David A. Kodde, Franz C. Palm

Publication date: 1988

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

nonlinear transformationsdynamic regression modelnested hypothesesasymptotically invariantgeneralized Wald testtesting the common factor restrictionstraditional Wald test

Mathematics Subject Classification ID

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

Cites Work

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• Some useful equivalence properties of Hausman's test
• Testing the restrictions implied by the rational expectations hypothesis
• Asymptotic least-squares estimation efficiency considerations and applications
• Generalized Wald Methods for Testing Nonlinear Implicit and Overidentifying Restrictions
• An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
• Some Tests of Dynamic Specification for a Single Equation
• On Obtaining Large-Sample Tests from Asymptotically Normal Estimators
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large

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