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Generalised Wald type Test of nonlinear restrictions

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  • Zaka Ratsimalahelo

    (Université de Bourgogne Franche-Comté, CRESE)

Abstract

This paper proposes a generalised Wald type tests to test the hypothesis of the nonlinear restrictions. We circumvent the problem of singularity of the co-variance matrix associated with the usual Wald test by proposing a generalised inverse procedure, and an alternative simple procedure which can be approximated by a suitable chi-square distribution. New threshold value is derived to estimate the rank of the covariance matrix .

Suggested Citation

  • Zaka Ratsimalahelo, 2017. "Generalised Wald type Test of nonlinear restrictions," Working Papers 2017-13, CRESE.
    • Handle: RePEc:crb:wpaper:2017-13
    DOI: https://doi.org/10.4236/oalib.1103923
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    File URL: https://crese.univ-fcomte.fr/uploads/wp/WP-2017-13.pdf
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    References listed on IDEAS

    as
    1. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    2. Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-1468, November.
    3. Gregory, Allan W. & Veall, Michael R., 1986. "Wald tests of common factor restrictions," Economics Letters, Elsevier, vol. 22(2-3), pages 203-208.
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    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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