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Wald statistic for linear restrictions
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Area of mathematics
Probability and statistics
Statistical modelling
Statistical hypothesis testing
Wald test
Multivariate Wald statistic
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For a full-row-rank
k
×
p
matrix
R
and the null hypothesis
Rθ
=
r
, put
W
n
,
R
=
n
(
R
θ
n
−
r
)
T
[
R
I
(
θ
n
)
−
1
R
T
]
−
1
(
R
θ
n
−
r
)
.
(209)
Under the null, asymptotic normality and
Slutsky theorem
give
W
n
,
R
d
χ
k
2
.
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(8)
Multivariate Wald statistic
Wald test
Statistical hypothesis testing
Statistical modelling
Probability and statistics
Area of mathematics
Mathematics
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