2 papers
math.ST2019
A technical note on divergence of the Wald statistic
Jean-Marie Dufour, Eric Renault, Victoria Zinde-Walsh
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 establi…
stat.ME2017
Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
Firmin Doko Tchatoka, Jean-Marie Dufour
We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We co…