Invariance and the Wald Test
AbstractMany models and hypotheses of interest in econometrics are invariant to certain types of data transformations such as measurement unit changes. Dagenais and Dufour (1991, 1992) and Dufour and Dagenais (1992) have shown that Wald test are not invariant in general to such data transformations. In this paper, I provide a simple set of sufficient conditions to ensure that a Wald test for a null hypothesis is invariant to such a data transformation. I then use this set of conditions to help account for certain features of the Monte Carlo results from Gregory and Veall (1986) on the properties of a variety of Wald tests for Sargan's COMFAC restriction (Sargan 1980) in the first-order autoregressive distributed-lag model.
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Bibliographic InfoPaper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 526.
Date of creation: 2000
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Postal: Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
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41530, University Library of Munich, Germany.
- repec:ebl:ecbull:v:3:y:2008:i:62:p:1-10 is not listed on IDEAS
- Dastoor, Naorayex, 2009. "The perceived framework of a classical statistic: Is the non-invariance of a Wald statistic much ado about null thing?," Working Papers 2009-25, University of Alberta, Department of Economics.
- Naorayex K Dastoor, 2008. "A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis," Economics Bulletin, AccessEcon, vol. 3(62), pages 1-10.
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