Generalized inverses and asymptotic properties of Wald tests

Quang H. Vuong

doi:10.1016/0165-1765(87)90069-3

Generalized inverses and asymptotic properties of Wald tests

Quang H. Vuong

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

Abstract

We consider Wald tests based on consistent estimators of g-inverses of the asymptotic covariance matrix Σ of a statistic that is n^{1 2}-asymptotically normal distributed. Asymptotic properties of the tests are obtained under the null hypothesis and under any sequence of local alternatives. As an illustration, our results are applied to obtain a new simple Hausman test which is always asymptotically equivalent to the classical tests.

Original language	English (US)
Pages (from-to)	343-347
Number of pages	5
Journal	Economics Letters
Volume	24
Issue number	4
DOIs	https://doi.org/10.1016/0165-1765(87)90069-3
State	Published - 1987

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/0165-1765(87)90069-3

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title = "Generalized inverses and asymptotic properties of Wald tests",

abstract = "We consider Wald tests based on consistent estimators of g-inverses of the asymptotic covariance matrix Σ of a statistic that is n 1 2-asymptotically normal distributed. Asymptotic properties of the tests are obtained under the null hypothesis and under any sequence of local alternatives. As an illustration, our results are applied to obtain a new simple Hausman test which is always asymptotically equivalent to the classical tests.",

author = "Vuong, {Quang H.}",

note = "Funding Information: * This research was supported by National Science Foundation Grant SES-841093. I am indebted to D. Andrew, W. Newey, and D. Rivers for helpful remarks, and to CR. Jackson for moral support. This paper 1s dedicated to certain colleagues at Caltech.",

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doi = "10.1016/0165-1765(87)90069-3",

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pages = "343--347",

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AU - Vuong, Quang H.

N1 - Funding Information: * This research was supported by National Science Foundation Grant SES-841093. I am indebted to D. Andrew, W. Newey, and D. Rivers for helpful remarks, and to CR. Jackson for moral support. This paper 1s dedicated to certain colleagues at Caltech.

PY - 1987

Y1 - 1987

N2 - We consider Wald tests based on consistent estimators of g-inverses of the asymptotic covariance matrix Σ of a statistic that is n 1 2-asymptotically normal distributed. Asymptotic properties of the tests are obtained under the null hypothesis and under any sequence of local alternatives. As an illustration, our results are applied to obtain a new simple Hausman test which is always asymptotically equivalent to the classical tests.

AB - We consider Wald tests based on consistent estimators of g-inverses of the asymptotic covariance matrix Σ of a statistic that is n 1 2-asymptotically normal distributed. Asymptotic properties of the tests are obtained under the null hypothesis and under any sequence of local alternatives. As an illustration, our results are applied to obtain a new simple Hausman test which is always asymptotically equivalent to the classical tests.

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VL - 24

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JO - Economics Letters

JF - Economics Letters

IS - 4

ER -

Generalized inverses and asymptotic properties of Wald tests

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