Document Type
Discussion Paper
Publication Date
9-1-1985
CFDP Number
761R
CFDP Revision Date
1986-04-01
CFDP Pages
15
Abstract
This note presents conditions under which a quadratic form based on a g-inverted weighting matrix converges to a chi-square distribution as the sample size goes to infinity. Subject to fairly weak underlying conditions, a necessary and sufficient condition is given for this result. The result is of interest, because it is needed to establish asymptotic significance levels and local power properties of generalized Wald tests (i.e., Wald tests with singular limiting covariance matrices). Included in this class of tests are Hausman specification tests and various goodness of fit tests, among others. The necessary and sufficient condition is relevant to procedures currently in the econometrics literature, because it illustrates that some results stated in the literature only hold under more restrictive assumptions than those given.
Recommended Citation
Andrews, Donald W.K., "Asymptotic Results for Generalized Wald Tests" (1985). Cowles Foundation Discussion Papers. 1002.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1002