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On the Formulation of Wald Tests of Nonlinear Restrictions Author info | Abstract | Publisher info | Download info | Related research | Statistics Peter C.B. Phillips () (Cowles Foundation, Yale University )
Joon Y. Park (School of Economics, Seoul National University)
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This paper utilizes asymptotic expansions to investigate alternative forms of the Ward set of nonlinear restrictions. Some formulae for the asymptotic expansion of the distribution of the Wald statistic are provided for a general case. When specialized to the simple cases that have been studied recently in the literature, these formulae are found to explain rather well the discrepancies in sampling behavior that have been observed by other authors. It is further shown how the correction delivered by the Edgeworth expansion may be used to find transformations of the restrictions which accelerate convergence to the asymptotic distribution.
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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number
801.
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Length: 33 pages
Date of creation: Sep 1986Date of revision:
Publication status: Published in Econometrica (September 1988), 56(5): 1065-1083Handle: RePEc:cwl:cwldpp:801Note: CFP 718.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
Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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References listed on IDEAS 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.: Phillips, Peter C B, 1977.
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