Asymptotic Results for Generalized Wald Tests
Donald Andrews ()
No 761R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University
Abstract:
This note presents conditions under which a quadratic form based on a g-inverted weighting matrix converges to a chi-square distribution as the sample size goes to infinity. Subject to fairly weak underlying conditions, a necessary and sufficient condition is given for this result. The result is of interest, because it is needed to establish asymptotic significance levels and local power properties of generalized Wald tests (i.e., Wald tests with singular limiting covariance matrices). Included in this class of tests are Hausman specification tests and various goodness of fit tests, among others. The necessary and sufficient condition is relevant to procedures currently in the econometrics literature, because it illustrates that some results stated in the literature only hold under more restrictive assumptions than those given.
Keywords: Generalized inverse; Wald test; asymptotics; chi-square (search for similar items in EconPapers)
Pages: 14 pages
Date: 1985-09, Revised 1986-04
Note: CFP 694.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)
Published in Econometric Theory (1987), 3: 348-358
Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d07/d0761-r.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Related works:
Journal Article: Asymptotic Results for Generalized Wald Tests (1987)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:761r
Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.
Access Statistics for this paper
More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().