The paper investigates certain asymptotic properties of the test of randomness based on the statistic Rh = ∑n i=1 xix i+h proposed by Wald and Wolfowitz. It is shown that the conditions given in the ...
where is a vector valued function of the parameters given by the r expressions specified on the TEST statement. The Wald test is not invariant to reparameterization of the model (Gregory 1985, Gallant ...
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