IDEAS home Printed from https://ideas.repec.org/p/crb/wpaper/2017-13.html
   My bibliography  Save this paper

Generalised Wald type Test of nonlinear restrictions

Author

Listed:
  • Zaka Ratsimalahelo

    (Université de Bourgogne Franche-Comté, 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 .

Suggested Citation

  • Zaka Ratsimalahelo, 2017. "Generalised Wald type Test of nonlinear restrictions," Working Papers 2017-13, CRESE.
    • Handle: RePEc:crb:wpaper:2017-13
    DOI: https://doi.org/10.4236/oalib.1103923
    as

    Download full text from publisher

    File URL: https://crese.univ-fcomte.fr/uploads/wp/WP-2017-13.pdf
    File Function: First version, 2017
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.4236/oalib.1103923?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-1468, November.
    2. Gregory, Allan W. & Veall, Michael R., 1986. "Wald tests of common factor restrictions," Economics Letters, Elsevier, vol. 22(2-3), pages 203-208.
    3. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    4. Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Goh, Kim-Leng & King, Maxwell L., 1996. "Modified Wald tests for non-linear restrictions: A cautionary tale," Economics Letters, Elsevier, vol. 53(2), pages 133-138, November.
    2. Kemp, Gordon C. R., 2001. "Invariance and the Wald test," Journal of Econometrics, Elsevier, vol. 104(2), pages 209-217, September.
    3. Francisco J. Goerlich Gisbert, 1992. "Un test alternativo de la hipótesis de sustitución intertemporal del trabajo," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 259-280, May.
    4. Postel-Vinay, Fabien & Jolivet, Grégory & Borowczyk-Martins, Daniel, 2011. "Accounting For Endogenous Search Behavior in Matching Function Estimation," CEPR Discussion Papers 8471, C.E.P.R. Discussion Papers.
    5. Godfrey, L. G. & Veall, M. R., 1998. "Bootstrap-based critical values for tests of common factor restrictions," Economics Letters, Elsevier, vol. 59(1), pages 1-5, April.
    6. repec:hal:spmain:info:hdl:2441/4l136f59vb8mcalu5p6p5li007 is not listed on IDEAS
    7. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    8. Naorayex K Dastoor, 2008. "A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis," Economics Bulletin, AccessEcon, vol. 3(62), pages 1-10.
    9. Daniel Borowczyk-Martins & Gregory Jolivet & Fabien Postel-Vinay, 2013. "Accounting For Endogeneity in Matching Function Estimation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(3), pages 440-451, July.
    10. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, University Library of Munich, Germany, revised 05 Mar 1996.
    11. Jean-Marie Dufour & Alain Trognon & Purevdorj Tuvaandorj, 2017. "Invariant tests based on M -estimators, estimating functions, and the generalized method of moments," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 182-204, March.
    12. Dastoor, Naorayex, 2009. "The perceived framework of a classical statistic: Is the non-invariance of a Wald statistic much ado about null thing?," Working Papers 2009-25, University of Alberta, Department of Economics.
    13. Brown, Kenneth & Cribari-Neto, Francisco, 1992. "On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 12(2), November.
    14. Paul Hansen, 1997. "Inference on “earnings dynamics over the life cycle: New evidence for New Zealand”," New Zealand Economic Papers, Taylor & Francis Journals, vol. 31(2), pages 221-227.
    15. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, July-Dece.
    16. Crudu, Federico & Osorio, Felipe, 2020. "Bilinear form test statistics for extremum estimation," Economics Letters, Elsevier, vol. 187(C).
    17. Helen Popper, 1995. "Term premia comovement in German, Japanese, and U.S. domestic markets," Open Economies Review, Springer, vol. 6(1), pages 49-62, January.
    18. repec:spo:wpmain:info:hdl:2441/4l136f59vb8mcalu5p6p5li007 is not listed on IDEAS
    19. Carlo A. Favero, 2009. "The Econometrics of Monetary Policy: An Overview," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 16, pages 821-850, Palgrave Macmillan.
    20. King, Maxwell L. & Zhang, Xibin & Akram, Muhammad, 2020. "Hypothesis testing based on a vector of statistics," Journal of Econometrics, Elsevier, vol. 219(2), pages 425-455.
    21. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
    22. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.

    More about this item

    Keywords

    nonlinear restrictions; de?cient rank; singular covariance matrix; generalised Wald test.;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crb:wpaper:2017-13. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lauent Kondratuk (email available below). General contact details of provider: https://edirc.repec.org/data/crufcfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.