Modified Wald tests for non-linear restrictions: a cautionary tale

Kim Leng Goh, Maxwell L. King

Research output: Contribution to journalArticleResearchpeer-review

Abstract

This paper uses Monte Carlo simulation to examine the size and power properties of two modified Wald tests for non-linear restrictions. We find that the modifications can sometimes reduce power and need not result in improved size properties in small samples.

Original languageEnglish
Pages (from-to)133-138
Number of pages6
JournalEconomics Letters
Volume53
Issue number2
DOIs
Publication statusPublished - 1 Nov 1996

Keywords

  • Monte Carlo simulation
  • Non-linear restrictions
  • Power
  • Size
  • Wald test

Cite this