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On Wald tests for globally and locally quadratic restrictions

1991; Elsevier BV; Volume: 50; Issue: 3 Linguagem: Inglês

10.1016/0304-4076(91)90021-5

1872-6895

Gordon C.R. Kemp,

Monetary Policy and Economic Impact

In this paper I analyze the properties of Wald tests for quadratic and locally quadratic restrictions. Initially I consider the finite-sample properties of Wald tests for quadratic restrictions in the Classical Linear Regression (CLR) model. Then I extend these results to the asymptotic properties of Wald tests for locally quadratic restrictions in more general models. Finally, I apply these results to the problem of testing for second-order COMFAC restrictions. This analysis indicates that the conventional general-to-specific approach to testing is inappropriate for the sequential testing of COMFAC restrictions.