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Naorayex K Dastoor
''A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis''
( 2008, Vol. 3 No.62 )
For a given null hypothesis and its reformulation, the associated Wald statistics are shown to be members of a wider family of statistics where all members are asymptotically equivalent under the null hypothesis. Therefore, the non-invariance of a Wald statistic (to a reformulation of a null hypothesis) is equivalent to using different members of the wider family and, in addition, this non-invariance implies that these members use different estimators of an appropriate variance-covariance matrix.
JEL: C1 - Econometric and Statistical Methods: General
Manuscript Received : Aug 04 2008 Manuscript Accepted : Sep 30 2008

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