Asymptotic Results for Generalized Wald Tests
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 761R.
Length: 14 pages
Date of creation: Sep 1985
Date of revision: Apr 1986
Publication status: Published in Econometric Theory (1987), 3: 348-358
Note: CFP 694.
Contact details of provider:
Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hausman, Jerry A. & Taylor, William E., 1981. "A generalized specification test," Economics Letters, Elsevier, vol. 8(3), pages 239-245.
- Donald W.K. Andrews, 1985. "Random Cell Chi-Square Diagnostic Tests for Econometric Models: I. Introduction and Applications," Cowles Foundation Discussion Papers 762, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews, 1985. "Random Cell Chi-Square Diagnostic Tests for Econometric Models: II. Theory," Cowles Foundation Discussion Papers 763R, Cowles Foundation for Research in Economics, Yale University, revised Jun 1986.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Glena Ames).
If references are entirely missing, you can add them using this form.