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arXiv · 1906.05951

A technical note on divergence of the Wald statistic

Jean-Marie Dufour·Eric Renault·Victoria Zinde-Walsh
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Abstract

The Wald test statistic has been shown to diverge (Dufour et al, 2013, 2017) under some conditions. This note links the divergence to eigenvalues of a polynomial matrix and establishes the divergence rate.

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Jean-Marie Dufour, Eric Renault, Victoria Zinde-Walsh. 2019-06-13. A technical note on divergence of the Wald statistic. https://arxiv.org/abs/1906.05951

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