On the Formulation of Wald Tests of Nonlinear Restrictions

Peter Phillips and Joon Park

No 801, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper utilizes asymptotic expansions to investigate alternative forms of the Ward set of nonlinear restrictions. Some formulae for the asymptotic expansion of the distribution of the Wald statistic are provided for a general case. When specialized to the simple cases that have been studied recently in the literature, these formulae are found to explain rather well the discrepancies in sampling behavior that have been observed by other authors. It is further shown how the correction delivered by the Edgeworth expansion may be used to find transformations of the restrictions which accelerate convergence to the asymptotic distribution.

Pages: 33 pages
Date: 1986-09
Note: CFP 718.
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Citations: View citations in EconPapers (4)

Published in Econometrica (September 1988), 56(5): 1065-1083

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