Journal article
Wald tests of common factor restrictions
Abstract
In this letter using Monte Carlo analysis, we investigate the sensitivity of Wald tests to alternative formulations of non-linear common factor restrictions. For there examples considered, there is no one form of the restrictions that performs well over the different parameter settings.
Authors
Gregory AW; Veall MR
Journal
Economics Letters, Vol. 22, No. 2-3, pp. 203–208
Publisher
Elsevier
Publication Date
January 1986
DOI
10.1016/0165-1765(86)90232-6
ISSN
0165-1765