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On the Formulation of Wald Tests on Long-Run Parameters

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Author Info
Boswijk, Peter

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Abstract

In a single-equation error correction model, two alternative formulations of a linear hypothesis on the long-run parameters and associated Wald test statistics are shown to arise from the covariance matrix estimator. A choice between the statistics is based on invariance properties and on lack of moments considerations. As a consequence, the use of asymptotic standard errors of long-run parameters is questioned. Copyright 1993 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 55 (1993)
Issue (Month): 1 (February)
Pages: 137-44
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Handle: RePEc:bla:obuest:v:55:y:1993:i:1:p:137-44

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  1. H. Herwartz & M. Neumann, . "Bootstrap Inference in Single Equation Error Correction Models," Sonderforschungsbereich 373 2000-87, Humboldt Universitaet Berlin.
  2. H.P. Boswijk & P.H. Franses, 2001. "Robust inference on average economic growth," Econometric Institute Report 252, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  3. H. Peter Boswijk & Philip Hans Franses, 2002. "How Large is Average Economic Growth? Evidence from a Robust Method," Tinbergen Institute Discussion Papers 02-002/4, Tinbergen Institute. [Downloadable!]
  4. Bas Aarle & Nina Budina, 1997. "Financial repression, money growth, and seignorage: The Polish experience," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(4), pages 683-707, December. [Downloadable!] (restricted)
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This page was last updated on 2009-12-19.

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