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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