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

Article Abstract:

The problem of local biasedness in the Wald test in small-sample applications, which is attributed to poor centring of its power curve when a two-sided alternative hypothesis is involved, was examined. The new test procedure involves finding two critical values to obtain the desired size and local unbiasedness. Results demonstrate that the corrected Wald test still shares the non-monotonic power behavior of the original test studied.

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On the formulation of Wald tests on long-run parameters

Article Abstract:

Analysis of two Wald test statistics of linear restrictions is conducted regarding short-run dynamic adjustments and long-run equilibrium relations. Results show that the Wald or F-test corrsponding to an error correction model is more effective in reformulating the linear restrcition on an error correction model than asymptotic covariance test for long-run parameter estimators.

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Orthogonality tests in linear models

Article Abstract:

The research studies various generalized method of moments (GMM) tests of orthogonality in linear models. The GMM tests considered can be applied to models with heteroskedastic and autocorrelated errors. Results show that the tests can be considered as similar to the Wald test of exclusive constraints applied to artificial models.

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