Chapter

Testing and Evaluation

David F. Hendry

in Dynamic Econometrics

Published in print February 1995 | ISBN: 9780198283164
Published online November 2003 | e-ISBN: 9780191596384 | DOI: http://dx.doi.org/10.1093/0198283164.003.0013

Series: Advanced Texts in Econometrics

 Testing and Evaluation

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The non‐central chi‐squared distribution frequently results when hypothesis testing, so the large‐sample properties of such tests are analysed for sequences of local alternatives. Test power depends only on the distance of the null from the alternative, not the direction of departure. Likelihood ratio, Wald, and Lagrange‐multiplier tests are compared, and the methodological implications of evaluation are highlighted.

Keywords: hypothesis testing; Lagrange‐multiplier test; Likelihood ratio test; non‐central chi‐squared; test power; Wald test

Chapter.  16450 words. 

Subjects: Econometrics and Mathematical Economics

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