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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2000|
|Date of revision:|
|Contact details of provider:|| Postal: Wivenhoe Park, COLCHESTER. CO4 3SQ|
Web page: http://www.essex.ac.uk/economics/
More information through EDIRC
|Order Information:|| Postal: Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Lafontaine, Francine & White, Kenneth J., 1986. "Obtaining any Wald statistic you want," Economics Letters, Elsevier, vol. 21(1), pages 35-40.
- Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-68, November.
- Sargan, J D, 1980. "Some Tests of Dynamic Specification for a Single Equation," Econometrica, Econometric Society, vol. 48(4), pages 879-97, May.
- 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.
- Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-83, September.
- Dagenais, Marcel G & Dufour, Jean-Marie, 1991.
"Invariance, Nonlinear Models, and Asymptotic Tests,"
Econometric Society, vol. 59(6), pages 1601-15, November.
- Gregory, Allan W. & Veall, Michael R., 1986. "Wald tests of common factor restrictions," Economics Letters, Elsevier, vol. 22(2-3), pages 203-208.
When requesting a correction, please mention this item's handle: RePEc:esx:essedp:526. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Essex Economics Web Manager)
If references are entirely missing, you can add them using this form.