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.
ASJC Scopus subject areas
- Economics and Econometrics