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Dynamic Econometrics$
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David F. Hendry

Print publication date: 1995

Print ISBN-13: 9780198283164

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198283164.001.0001

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Testing and Evaluation

Testing and Evaluation

(p.468) 13 Testing and Evaluation
Dynamic Econometrics

David F. Hendry (Contributor Webpage)

Oxford University Press

The non‐central chi‐squared distribution frequently results when hypothesis testing, so the large‐sample properties of such tests are analysed for sequences of local alternatives. Test power depends only on the distance of the null from the alternative, not the direction of departure. Likelihood ratio, Wald, and Lagrange‐multiplier tests are compared, and the methodological implications of evaluation are highlighted.

Keywords:   hypothesis testing, Lagrange‐multiplier test, Likelihood ratio test, non‐central chi‐squared, test power, Wald test

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