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Generalised Wald Type Test of Nonlinear Restrictions

DOI: 10.4236/oalib.1103923, PP. 1-8

Subject Areas: Statistics And Econometrics

Keywords: Nonlinear Restrictions, Deficient Rank, Singular Covariance Matrix, Generalised Wald Test

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Abstract

This paper proposes a generalised Wald type tests to test the hypothesis of the nonlinear restrictions. We circumvent the problem of singularity of the covariance matrix associated with the usual Wald test by proposing a generalised inverse procedure, and an alternative simple procedure which can be approximated by a suitable chi-square distribution. New threshold value is derived to estimate the rank of the covariance matrix.

Cite this paper

Ratsimalahelo, Z. (2017). Generalised Wald Type Test of Nonlinear Restrictions. Open Access Library Journal, 4, e3923. doi: http://dx.doi.org/10.4236/oalib.1103923.

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