On the Formulation of Wald Tests of Nonlinear Restrictions
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.
Phillips, Peter C.B. and Park, Joon Y., "On the Formulation of Wald Tests of Nonlinear Restrictions" (1986). Cowles Foundation Discussion Papers. 1044.