Kemp, Gordon CR (1991) On Wald tests for globally and locally quadratic restrictions. Journal of Econometrics, 50 (3). pp. 257-272. DOI https://doi.org/10.1016/0304-4076(91)90021-5
Kemp, Gordon CR (1991) On Wald tests for globally and locally quadratic restrictions. Journal of Econometrics, 50 (3). pp. 257-272. DOI https://doi.org/10.1016/0304-4076(91)90021-5
Kemp, Gordon CR (1991) On Wald tests for globally and locally quadratic restrictions. Journal of Econometrics, 50 (3). pp. 257-272. DOI https://doi.org/10.1016/0304-4076(91)90021-5
Abstract
In this paper I analyze the properties of Wald tests for quadratic and locally quadratic restrictions. Initially I consider the finite-sample properties of Wald tests for quadratic restrictions in the Classical Linear Regression (CLR) model. Then I extend these results to the asymptotic properties of Wald tests for locally quadratic restrictions in more general models. Finally, I apply these results to the problem of testing for second-order COMFAC restrictions. This analysis indicates that the conventional general-to-specific approach to testing is inappropriate for the sequential testing of COMFAC restrictions. © 1991.
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 17 Jul 2012 12:10 |
| Last Modified: | 30 Oct 2024 20:04 |
| URI: | http://repository.essex.ac.uk/id/eprint/2881 |