The estimator of the coefficient covariance matrix proposed in White (1982)can be used to robustify the classical Wald test. Sampling experiments recently performed on linear regressions and simultaneous equation models, however, suggest that such an estimator tends to underestimate the covariance matrix if the model is correctly specified. In the classical framework of simultaneous equation systems, this paper aims at investigating the consequences of the use of robust covariance matrix estimator in the Wald test, when there is no misspecification
A Wald statistic, which is asymptotically equivalent to the likelihood ratio criterion, is obtained ...
This article assesses the small-sample properties of generalized-method-of-moments-based Wald statis...
This paper investigates the finite sample behaviour of the Wald test of a slope coefficient (t-ratio...
The estimator of the coefficient covariance matrix proposed in White (1982)can be used to robustify ...
This thesis considers the problem of testing linear restrictions on coefficients of a single equatio...
The design of Monte-Carlo experiment to compare alternative estimators of simultaneous equation mode...
An important issue for robust inference is to examine the stability of the asymptotic level and powe...
In this paper we consider the inference problem regarding the proportionality of the covariance matr...
In this paper we review existing work on robust estimation for simultaneous equations models. Then w...
Abstract: Problem statement: All simultaneous equation estimation methods have some desirable asympt...
The Wald test for linear restrictions on cointegrating vectors is compared in finite samples using t...
This paper considers inference procedures in a system of linear simultaneous equations with errors g...
In this paper we consider the inference problem regarding the proportionality of the covariance matr...
We study hypotheses testing in the presence of a possibly singular covariance matrix. We propose an ...
Consider testing the null hypothesis that a single structural equation has specified coefficients. T...
A Wald statistic, which is asymptotically equivalent to the likelihood ratio criterion, is obtained ...
This article assesses the small-sample properties of generalized-method-of-moments-based Wald statis...
This paper investigates the finite sample behaviour of the Wald test of a slope coefficient (t-ratio...
The estimator of the coefficient covariance matrix proposed in White (1982)can be used to robustify ...
This thesis considers the problem of testing linear restrictions on coefficients of a single equatio...
The design of Monte-Carlo experiment to compare alternative estimators of simultaneous equation mode...
An important issue for robust inference is to examine the stability of the asymptotic level and powe...
In this paper we consider the inference problem regarding the proportionality of the covariance matr...
In this paper we review existing work on robust estimation for simultaneous equations models. Then w...
Abstract: Problem statement: All simultaneous equation estimation methods have some desirable asympt...
The Wald test for linear restrictions on cointegrating vectors is compared in finite samples using t...
This paper considers inference procedures in a system of linear simultaneous equations with errors g...
In this paper we consider the inference problem regarding the proportionality of the covariance matr...
We study hypotheses testing in the presence of a possibly singular covariance matrix. We propose an ...
Consider testing the null hypothesis that a single structural equation has specified coefficients. T...
A Wald statistic, which is asymptotically equivalent to the likelihood ratio criterion, is obtained ...
This article assesses the small-sample properties of generalized-method-of-moments-based Wald statis...
This paper investigates the finite sample behaviour of the Wald test of a slope coefficient (t-ratio...