Document Type
Discussion Paper
Publication Date
9-1-1986
CFDP Number
801
CFDP Pages
33
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.
Recommended Citation
Phillips, Peter C.B. and Park, Joon Y., "On the Formulation of Wald Tests of Nonlinear Restrictions" (1986). Cowles Foundation Discussion Papers. 1044.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1044