On the Formulation of Wald Tests on Long-Run Parameters.

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 1993
Volume: 55
Issue: 1
Pages: 137-44

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In a single-equation error correction model, two alternative formulations of a linear hypothesis on the long-run parameters and associated Wald test statistics are shown to arise from the covariance matrix estimator. A choice between the statistics is based on invariance properties and on lack of moments considerations. As a consequence, the use of asymptotic standard errors of long-run parameters is questioned. Copyright 1993 by Blackwell Publishing Ltd

Technical Details

RePEc Handle
repec:bla:obuest:v:55:y:1993:i:1:p:137-44
Journal Field
General
Author Count
1
Added to Database
2026-01-24