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On the Formulation of Wald Tests of Nonlinear Restrictions

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  • Phillips, Peter C B
  • Park, Joon Y

Abstract

This paper utilizes asymptotic expansions of the Edgeworth type to investigate alternative forms of the Wald test of nonlinear restricti ons. Some formulae for the asymptotic expansion of the distribution of the Wald statistic are provided for a general case that should include most econometric applications. 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 corrections delivered by Edgeworth expansions m ay be used to find transformations of the restrictions that accelerate covergence to the asymptotic distribution. Copyright 1988 by The Econometric Society.

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  • Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-1083, September.
    • Handle: RePEc:ecm:emetrp:v:56:y:1988:i:5:p:1065-83
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    References listed on IDEAS

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    1. Phillips, Peter C B, 1977. "A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators," Econometrica, Econometric Society, vol. 45(6), pages 1517-1534, September.
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