Generalised Wald Type Test of Nonlinear Restrictions

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DOI: 10.4236/oalib.1103923    686 Downloads   2,238 Views  Citations
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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.

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Ratsimalahelo, Z. (2017) Generalised Wald Type Test of Nonlinear Restrictions. Open Access Library Journal, 4, 1-8. doi: 10.4236/oalib.1103923.

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