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Power in Econometric Applications

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Abstract

This paper is concerned with the use of power properties of tests in econometric applications. Power radius and inverse power functions are defined. These functions are designed to yield summary measures of power that facilitate the interpretation of test results in practice. Simple approximations are introduced for the power radius and inverse power functions of Wald, likelihood ration, Lagrange multiplier, and Hausman tests. These approximations readily convey the general qualitative features of the power of a test. Examples are provided to illustrate their usefulness in interpreting test results.

Suggested Citation

  • Donald W.K. Andrews, 1986. "Power in Econometric Applications," Cowles Foundation Discussion Papers 800, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:800
    Note: CFP 737.
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    1. Andrews, Donald W. K., 1987. "Asymptotic Results for Generalized Wald Tests," Econometric Theory, Cambridge University Press, vol. 3(3), pages 348-358, June.
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