Generalised Wald type Test of nonlinear restrictions

Zaka Ratsimalahelo ()
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Zaka Ratsimalahelo: Université de Bourgogne Franche-Comté, CRESE

No 2017-13, Working Papers from 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 .

Keywords: nonlinear restrictions; de?cient rank; singular covariance matrix; generalised Wald test. (search for similar items in EconPapers)
JEL-codes: C3 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2017-09
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:crb:wpaper:2017-13

DOI: 10.4236/oalib.1103923

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