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Modified Wald tests under nonregular conditions

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  • Lutkepohl, Helmut
  • Burda, Maike M.

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  • Lutkepohl, Helmut & Burda, Maike M., 1997. "Modified Wald tests under nonregular conditions," Journal of Econometrics, Elsevier, vol. 78(2), pages 315-332, June.
  • Handle: RePEc:eee:econom:v:78:y:1997:i:2:p:315-332
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    References listed on IDEAS

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    1. Andrews, Donald W. K., 1987. "Asymptotic Results for Generalized Wald Tests," Econometric Theory, Cambridge University Press, vol. 3(03), pages 348-358, June.
    2. Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
    3. repec:crs:wpaper:9206 is not listed on IDEAS
    4. Bruneau, C. & Nicolai, J.P., 1992. "Probabilistic Foundations of a Causal Analysis in Stationary Vectorial Autoregressive Model," Papers 1992-04, Caisse des Depots et Consignations - Cahiers de recherche.
    5. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
    6. Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-1468, November.
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