Generalised Wald Type Test of Nonlinear Restrictions

Generalised Score and Wald Tests

The Wald-type Test of a Normalization of Cointegrating Vectors

Vector autoregressive (VAR) models have often been used in the econometric literature as useful models to describe stationary/non-stationary time series. Additionally cointegrating vectors are of primary interest for researchers who investigate the long-run stable relationship between economic variables. In VAR models it is well known that cointegrating vectors are identifiable only up to their...

A Wald test of restrictions on the cointegrating space based on Johansen ’ s estimator *

A test is derived of the hypothesis that the cointegrating space of a collection of I(1) variables contains a vector subject to a set of linear restrictions. Applications to the problem of testing for irreducible cointegrating relations, and also structural hypotheses, are discussed.  1998 Elsevier Science S.A.

Generalised Test = Generalised Inference

Tim Menzies Dept. of Software Development, Monash University, Australia [email protected]; http://www.sd.monash.edu.au/ timm Abstract|We are used to viewing veri cation and validation as tasks to be performed after a knowledge-base is built. In this standard view, the inference engine is built rst, the knowledge base is then lled out, then nally a test engine is added to verify or va...

The Geometry of the Wald Test

The issue of the non-invariance of the Wald test under nonlinear reparametrisations of the restrictions under test is studied from a differential geometric viewpoint. Quantities that can be defined in purely geometrical terms are by construction invariant under reparametrisation, and various attempts are made to construct a Wald test out of such invariant quantities only. Despite the existence ...