Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72692
Authors: 
Ma, Jun
Nelson, Charles R.
Year of Publication: 
2010
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 256
Abstract: 
In models that have a representation of the form       ) , ( x g y the Wald test for ˆBeta has systematically wrong size in finite samples when the indentifying parameter Gamma is small relative to its estimation error. An alternative test based on linearization of g(.) can be interpreted as an approximation to the exact test of Fieller (1954) for a ratio of regression coefficients, or as an LM test in the spirit of Breusch and Pagan (1980)., We show that this test has nearly correct size in non-linear regression, ARMA, GARCH, and Unobserved Components models where the Wald test performs poorly.
Subjects: 
ARMA
unobserved components
state space
GARCH
zero-information-limit-condition
JEL: 
C12
C22
C33
Document Type: 
Working Paper

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