Direct cointegration testing in error-correction models [PDF]
, 1994 An error correction model is specified having only exact identified parameters, some of which reflect a possible departure from a cointegration model. Wald, likelihood ratio, and Lagrange multiplier statistics are derived to test for the significance of ...
Billingsley +20 more
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Finite sample inference for GMM estimators in linear panel data models [PDF]
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using Generalised Method of Moments (GMM).
Frank Windmeijer, Steve Bond
core
Bibliography of Sequential Sampling Plans in Insect Pest Management Based on Wald\u27s Sequential Probability Ratio Test [PDF]
, 2017 This paper contains 65 references dealing with the development of sequential sampling plans in insect pest management based on Wald\u27s Sequential Probability Ratio Test (SPRT), 25 in forest entomology and 40 in agriculture entomology.
Fowler, Gary W, Lynch, Ann M
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Generalized inverses and asymptotic properties of Wald tests [PDF]
Economics Letters, 1987 We consider Wald tests based on consistent estimators of g-inverses of the asymptotic covariance matrix ∑ of a statistic that is n^1/2-asymptotically normal distributed under the null hypothesis. Under the null hypothesis and under any sequence of local alternatives in the column space of ∑, these tests are asymptotically equivalent for any choice of g-
openaire +3 more sources
MONTE CARLO EVIDENCE ON COINTEGRATION AND CAUSATION [PDF]
The small sample performance of Granger causality tests under different model dimensions, degree of cointegration, direction of causality, and system stability are presented. Two tests based on maximum likelihood estimation of error-correction models (LR
Rambaldi, Alicia N., Zapata, Hector O.
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Structural Break Tests Robust to Regression Misspecification
Econometrics, 2018 Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series process exhibits severe
Alaa Abi Morshed +2 more
doaj +1 more source
Generalised Wald Type Test of Nonlinear Restrictions
OALib, 2005 Abstract This paper proposes a generalised Wald type tests to test the hypothesis of nonlinear restrictions. We circumvent the problem of singularity of the covariance 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 ...
openaire +1 more source
On the inconsistency of the unrestricted estimator of the information matrix near a unit root [PDF]
The unrestricted estimator of the information matrix is shown to be inconsistent for an autoregressive process with a root lying in a neighbourhood of unity with radial length proportional or smaller than 1/n, i.e.
Tassos Magdalinos
core
A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics [PDF]
We propose a pretest, bootstrap Kolmogorov-Smirnov test, to differentiate between weak and nearly-weak asymptotics. This is based on bootstrapping Wald Continuous Updating Estimator (CUE) based test.
Mehmet Caner
core
A power approximation for the Kenward and Roger Wald test in the linear mixed model. [PDF]
PLoS One, 2021 Kreidler SM +3 more
europepmc +1 more source