A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis

Noxy Dastoor

Economics Bulletin, 2008, vol. 3, issue 62, 1-10

Abstract: For a given null hypothesis and its reformulation, the associated Wald statistics are shown to be members of a wider family of statistics where all members are asymptotically equivalent under the null hypothesis. Therefore, the non-invariance of a Wald statistic (to a reformulation of a null hypothesis) is equivalent to using different members of the wider family and, in addition, this non-invariance implies that these members use different estimators of an appropriate variance-covariance matrix.

JEL-codes: C1 (search for similar items in EconPapers)
Date: 2008-09-30
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