A technical note on divergence of the Wald statistic
Statistics Theory
2019-06-17 v1 Statistics Theory
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.
Cite
@article{arxiv.1906.05951,
title = {A technical note on divergence of the Wald statistic},
author = {Jean-Marie Dufour and Eric Renault and Victoria Zinde-Walsh},
journal= {arXiv preprint arXiv:1906.05951},
year = {2019}
}