A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis
AbstractFor a given null hypothesis and its reformulation, the associated Wald statistics are shown to be members of a wider family of statistics where all members are asymptotically equivalent under the null hypothesis. Therefore, the non-invariance of a Wald statistic (to a reformulation of a null hypothesis) is equivalent to using different members of the wider family and, in addition, this non-invariance implies that these members use different estimators of an appropriate variance-covariance matrix.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2008)
Issue (Month): 62 ()
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Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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