Hypothesis testing of common roots

André Klein

Statistics & Probability Letters, 1994, vol. 20, issue 2, 163-167

Abstract: This paper deals with the Wald-test examining the null hypothesis for testing common roots of polynomials when the corresponding model is in a state space form. Since the Wald-test uses the inverse of the Fisher information matrix, an appropriate adjustment is then considered when the information matrix becomes singular. This will be the case in the presence of common roots.

Keywords: Common; roots; Wald-test; State; space; model; Spectral; density; Sylvester's; resultant; matrix; Companion; matrix; Fisher's; information; matrix (search for similar items in EconPapers)
Date: 1994
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