Wald test

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One of the three tests of restrictions (along with the Lagrange multiplier test and the likelihood ratio test) on an unknown parameter, or a vector of unknown parameters, θ, based on the maximum likelihood estimation of θ. The test statistic is a quadratic form involving the restriction vector and the covariance matrix of the parameter vector, evaluated at θ̂U, the unrestricted maximum likelihood estimator of θ. Under the null hypothesis it has asymptotic chi-square distribution with the number of degrees of freedom equal to the number of restrictions.

Subjects: Economics.

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