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

Kim Leng Goh; Maxwell L. King

doi:10.1016/S0165-1765(96)00909-3

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

Kim Leng Goh, Maxwell L. King

Econometrics & Business Statistics

Research output: Contribution to journal › Article › Research › peer-review

2 Citations (Scopus)

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 language	English
Pages (from-to)	133-138
Number of pages	6
Journal	Economics Letters
Volume	53
Issue number	2
DOIs	https://doi.org/10.1016/S0165-1765(96)00909-3
Publication status	Published - 1 Nov 1996

Keywords

Monte Carlo simulation
Non-linear restrictions
Power
Size
Wald test

Access to Document

10.1016/S0165-1765(96)00909-3

Cite this

@article{e0581b2600834796b5127274ae06c4fd,

title = "Modified Wald tests for non-linear restrictions: a cautionary tale",

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.",

keywords = "Monte Carlo simulation, Non-linear restrictions, Power, Size, Wald test",

author = "Goh, {Kim Leng} and King, {Maxwell L.}",

year = "1996",

month = nov,

day = "1",

doi = "10.1016/S0165-1765(96)00909-3",

language = "English",

volume = "53",

pages = "133--138",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Modified Wald tests for non-linear restrictions

T2 - a cautionary tale

AU - Goh, Kim Leng

AU - King, Maxwell L.

PY - 1996/11/1

Y1 - 1996/11/1

N2 - 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.

AB - 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.

KW - Monte Carlo simulation

KW - Non-linear restrictions

KW - Power

KW - Size

KW - Wald test

UR - http://www.scopus.com/inward/record.url?scp=0030273866&partnerID=8YFLogxK

U2 - 10.1016/S0165-1765(96)00909-3

DO - 10.1016/S0165-1765(96)00909-3

M3 - Article

AN - SCOPUS:0030273866

SN - 0165-1765

VL - 53

SP - 133

EP - 138

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

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

Abstract

Keywords

Access to Document

Other files and links

Cite this