A correction for local biasedness of the Wald and null Wald tests

This paper proposes a procedure to overcome the problem of small-sample loc al biasedness of the Wald test of a single restriction. The new test proced ure involves finding two critical values, in order to obtain the desired si ze and local unbiasedness. Simulation results indicate that the Wald test c orrected in this way still shares the non-monotonic power behaviour of the original test reported in the literature. We extend the new test procedure to the null Wald test recently developed to resolve power non-monotonicity, and obtain good power properties.