Invariance and the Wald test
Many 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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- Sargan, J D, 1980. "Some Tests of Dynamic Specification for a Single Equation," Econometrica, Econometric Society, vol. 48(4), pages 879-897, May.
- Gregory, Allan W. & Veall, Michael R., 1986. "Wald tests of common factor restrictions," Economics Letters, Elsevier, vol. 22(2-3), pages 203-208.
- Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-1468, November.
- Dagenais, Marcel G. & Dufour, Jean-Marie, 1992. "On the lack of invariance of some asymptotic tests to rescaling," Economics Letters, Elsevier, vol. 38(3), pages 251-257, March.
- Phillips, Peter C B & Park, Joon Y, 1988.
"On the Formulation of Wald Tests of Nonlinear Restrictions,"
Econometric Society, vol. 56(5), pages 1065-1083, September.
- Peter C.B. Phillips & Joon Y. Park, 1986. "On the Formulation of Wald Tests of Nonlinear Restrictions," Cowles Foundation Discussion Papers 801, Cowles Foundation for Research in Economics, Yale University.
- Lafontaine, Francine & White, Kenneth J., 1986. "Obtaining any Wald statistic you want," Economics Letters, Elsevier, vol. 21(1), pages 35-40.
- Dagenais, M.G. & Dufour, J.M., 1987.
"Invariance, Nonlinear Models and Asymptotic Tests,"
Cahiers de recherche
8738, Universite de Montreal, Departement de sciences economiques.
- Dagenais, Marcel G & Dufour, Jean-Marie, 1991. "Invariance, Nonlinear Models, and Asymptotic Tests," Econometrica, Econometric Society, vol. 59(6), pages 1601-1615, November.
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