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Comparisons with Likelihood Ratio and Wald Statistics
"... bepress, which has been given certain exclusive rights by the author. The International Journal ..."
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bepress, which has been given certain exclusive rights by the author. The International Journal
Higher Order Approximations for Wald Statistics in Time Series Regressions with Integrated Processes
 Journal of Econometrics
, 1999
"... www.elsevier.com/locate/econbase Higher order approximations for Wald statistics in time series regressions with integrated processes ..."
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Cited by 5 (2 self)
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www.elsevier.com/locate/econbase Higher order approximations for Wald statistics in time series regressions with integrated processes
On The Asymptotic NullDistribution Of The Wald Statistic At Singular Parameter Points
"... Consider a null hypothesis H 0 : R( ) = 0 about the parameter vector in a statistical model, where R is a given smooth multivariate function. The standard asymptotics for the nulldistribution of the Wald statistic, (as well as that of other test statistics, e.g. the maximum likelihood ratio statist ..."
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Cited by 2 (0 self)
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Consider a null hypothesis H 0 : R( ) = 0 about the parameter vector in a statistical model, where R is a given smooth multivariate function. The standard asymptotics for the nulldistribution of the Wald statistic, (as well as that of other test statistics, e.g. the maximum likelihood ratio
Equivalence Between OutofSample Forecast Comparisons and Wald Statistics ∗
, 2012
"... We establish the equivalence between a commonly used outofsample test of equal predictive accuracy and the difference between two Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive outofsample tests and evaluating their critical values. Our res ..."
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Cited by 3 (0 self)
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We establish the equivalence between a commonly used outofsample test of equal predictive accuracy and the difference between two Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive outofsample tests and evaluating their critical values. Our
Likelihood Ratio, Score, and Wald Statistics in Models with Monotone Functions: Some Comparisons
, 2002
"... BANERJEE AND WELLNER (2001) introduced and studied the likelihood ratio statistic for testing the hypothesis that a monotone function takes on a fixed value at a fixed point in the context of estimating the distribution function of the survival time in the interval censoring model. In this paper we ..."
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test statistics with an analogue of the classical Wald statistic and the likelihood ratio statistic introduced in BANERJEE AND WELLNER (2001). We first establish limiting distribution theory of the statistics under the null hypothesis, and discuss calculation of the relevant critical points
A Simple Estimator of Cointegrating Vectors in Higher Order Cointegrated Systems
 ECONOMETRICA
, 1993
"... Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. T ..."
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Cited by 524 (3 self)
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Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions
A simple explanation for the noninvariance of a Wald statistic to a reformulation of a null hypothesis
"... For a given null hypothesis and its reformulation, the associated Wald statistics are shown to be members of a wider family of statistics where all members are asymptotically equivalent under the null hypothesis. Therefore, the noninvariance of a Wald statistic (to a reformulation of a null hypothe ..."
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For a given null hypothesis and its reformulation, the associated Wald statistics are shown to be members of a wider family of statistics where all members are asymptotically equivalent under the null hypothesis. Therefore, the noninvariance of a Wald statistic (to a reformulation of a null
Asymptotic distribution of the supWald statistic under specification errors
"... Consider a simple structural break model where y t =# 1 +# 1 f(x t )+u t for t#k 0 and y t =# 2 +# 2 f(x t )+u t for t#k 0 . The timing of break and the structural parameters are unknown. Suppose the true functional form of the regressor f() is misspecified as g(). We do not place too many restrict ..."
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restrictions on the functional forms of f() and g(). A frequently encountered example in economics is that the true model is measured in level, but we estimate a loglinear model, i.e. when f(x t ) =x t and g(x t ) =log(x t ) For any f() and g(), we derive a nonstandard limiting null distribution of the supWald
Score statistics for current status data: comparisons with likelihood ratio and Wald statistics. Revision of
, 2003
"... In this paper we introduce three natural “score statistics ” for testing the hypothesis that F (t0) takes on a fixed value in the context of nonparametric inference with current status data. These three new test statistics have natural intepretations in terms of certain (weighted) L2 distances, and ..."
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Cited by 8 (2 self)
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, and are also connected to natural “onesided ” scores. We compare these new test statistics with an analogue of the classical Wald statistic and the likelihood ratio statistic introduced in Banerjee and Wellner (2001) for the same testing problem. Under classical “regular ” statistical problems the likelihood
Abraham Wald
"... This paper grew out of a lecture presented at the 54 th Session of the International Statistical Institute in Berlin, August 13 20, 2003, Schneeweiss (2003). It intends not only to outline the eventful life of Abraham Wald (1902 1950) in Austria and in the United States but also to present his ext ..."
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This paper grew out of a lecture presented at the 54 th Session of the International Statistical Institute in Berlin, August 13 20, 2003, Schneeweiss (2003). It intends not only to outline the eventful life of Abraham Wald (1902 1950) in Austria and in the United States but also to present his
Results 1  10
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341