ON WALD TESTS FOR GLOBALLY AND LOCALLY QUADRATIC RESTRICTIONS

In this paper I analyze the properties of Wald tests for quadratic and locally quadratic restrictions. Initially I consider the finite-sample properties of Wald tests for quadratic restrictions in the Classical Linear Regression (CLR) model. Then I extend these results to the asymptotic properties of Wald tests for locally quadratic restrictions in more general models. Finally, I apply these results to the problem of testing for second-order COMFAC restrictions. This analysis indicates that the conventional general-to-specific approach to testing is inappropriate for the sequential testing of COMFAC restrictions.