TITLE:
Generalised Wald Type Test of Nonlinear Restrictions
AUTHORS:
Zaka Ratsimalahelo
KEYWORDS:
Nonlinear Restrictions, Deficient Rank, Singular Covariance Matrix, Generalised Wald Test
JOURNAL NAME:
Open Access Library Journal,
Vol.4 No.9,
September
27,
2017
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.