MODIFIED WALD TESTS FOR NONLINEAR RESTRICTIONS - A CAUTIONARY TALE

Authors
GOH KL KING ML
Citation
Kl. Goh et Ml. King, MODIFIED WALD TESTS FOR NONLINEAR RESTRICTIONS - A CAUTIONARY TALE, Economics letters, 53(2), 1996, pp. 133-138
Citations number
8
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
53
Issue
2
Year of publication
1996
Pages
133 - 138
Database
ISI
SICI code
0165-1765(1996)53:2<133:MWTFNR>2.0.ZU;2-V
Abstract
This paper uses Monte Carlo simulation to examine the size and power p roperties of two modified Wald tests for non-linear restrictions. We f ind that the modifications can sometimes reduce power and need not res ult in improved size properties in small samples.