Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/72692 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 256
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
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.
Schlagwörter: 
ARMA
unobserved components
state space
GARCH
zero-information-limit-condition
JEL: 
C12
C22
C33
Dokumentart: 
Working Paper

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