Questions tagged [wald-estimator]

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46 views

Wald test standard error

I want to compute from scratch a Wald test to test significance of one coefficient in a logistic regression model. I've been to so many posts and blogs but couldn't find a clear explanation with ...
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1answer
73 views

Why need wald test ( a squared version of t test ) when we already have t test?

It seems to me that they are basically calculate the same thing. Since we already have t-test, why do we need a squared version (wald test)? Does wald test have its own advantage? For example in Cox ...
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1answer
51 views

Why is likelihood ratio test preferred Cox model for small sample sizes?

It looks like a common consensus that likelihood ratio (LR) test is preferred over log rank and Wald in Cox model when sample size is small. I did some research and couldn't find any clear answer My ...
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0answers
45 views

Why are Logrank, Wald and likelihood ratio test asymptotically equivalent?

I am trying survival analysis and it seems like a common consensus that Logrank, Wald and likelihood ratio are asymptotically equivalent I don't understand why they are asymptotically equivalent. As ...
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12 views

proportional hazard assumption

What is the assumption we must check if Cox proportional hazard regression is used? Is my step and method to build on Cox proportional hazard model correct, or not? Can I used ln(-ln(survival))curve ...
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20 views

Wald test for Poisson distributions

This question asks: $N_A$ and $N_B$ are variables of the counts of the number of events 'A' and events 'B' respectively. Those variables follow Poisson distributions with parameters $\lambda_A$...
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0answers
131 views

Likelihood ratio test, Wald test and LM test for variance of a normal distribution

Let y1, y2....yt follow a N(0,sigma^2) distribution. [Note that the mean is zero and you know that it is zero]. Derive the LR, LM and Wald test of hypothesis sigma^2 = 1. I have got the MLE, the ...
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0answers
100 views

Comparing the output and fit of an OLS and a Tobit model, and comparing Tobit models

I am trying to estimate a quite complicated model (many variables with different structures), with a limited dependent variable, which ranges from 0-100% with about 45% of the sample having an ...
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0answers
64 views

difference between Wald and LR in Anova(car) and p-values

I am having difficulty understanding the p-values of a Anova(glm) in the car package in terms of Type II error. Are they testing ...
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0answers
24 views

What are the consequences when large-sample asymptotics does not hold?

Lots of (frequentist) statistical inference is based on large-sample asymptotics. What are the specific consequences when a sample size is not big enough for the sampling distribution of an ...
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1answer
319 views

why is 2SLS with dummys the same as GLS on group means?

I'm reading Mostly Harmless Econometrics (Available here), and on page 100 they say that 2SLS with dummy instruments is the same as GLS on a set of group means. I don't understand why. From the ...
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2answers
2k views

Covariance, bernoulli distribution and instrumental variables

my problem is from the following book on page 94 (http://www.development.wne.uw.edu.pl/uploads/Main/recrut_econometrics.pdf). They say the covariance between a single dummy instrument variable (z), ...
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1answer
775 views

MLE-based hypothesis tests

I recently encountered the three MLE-based tests Wald test, Likelihood ratio test and Lagrange Multiplier test. Although it seemed at first like the usual hypothesis testing I already know from ...
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1answer
233 views

Huge difference in Wald and LR test in Firth's Bias-Reduced Logistic Regression

I have a dataset with 3726 observations. The values of '1' in the response variable is extremely rare: I have five 1's and 3721 0's. I used Firth's logistic regression to address this rarity (using ...
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1answer
367 views

Hypothesis testing for log-normal distribution

Assume that we have a random sample from the log-normal distribution and that we want to test $H_0: \tau=0$, where $\tau=\mu+\sigma^2/2$. I want to construct the Wald test for this purpose, and I know ...
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60 views

Variance of Poisson random variable divided with the sum of the Poisson sample

Consider $Y_1\sim \operatorname {Poisson}(\lambda\psi)$ and $Y_2\sim \operatorname {Poisson}(\lambda)$, where $Y_1$ and $Y_2$ are independent, and where we are interested in testing $H_0: \psi =1$. ...
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1answer
1k views

Why does scipy use Wald Statistic + t-test as opposed to Wald Statistic + Wald test for linear regression?

When performing linear regression, why does scipy use Wald Statistic followed by a t-test, as opposed to Wald Statistic followed by a Wald test? The following code performs linear regression on two ...
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0answers
29 views

Time trend analyses using “years vs. rate” ecological data?

Looking at my time trend plot, I wonder how to test the statistical significance in the trend shown in the plot here given this simple "years vs. rate" ecological data? I tried ANOVA turned in $p<0....
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1answer
313 views

Wald test: Why do we assume normality of estimate

Suppose, I am using Wald test to test following hypothesis. $$H0:\theta = \theta_0$$ $$H1:\theta \neq \theta_0$$ Given the MLE estimate $\hat{\theta}$ , Wald test makes the following normality ...
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0answers
214 views

Multiple impute multilevel data and postestimation tests

I want to do the following three things but am not sure how/whether they can be done: multiple impute multilevel data. I would be ok with just accounting for clusters, but I need to somehow account ...
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319 views

Bootstrapping the Granger Wald Test?

I created full example code that conducts a Granger causality Wald test for the Chicken & Egg dataset: ...
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2answers
2k views

How can I compute the standard error of the Wald estimator?

According to Cameron and Trivedi Microeconometrics 2006, page 98-99, the Wald estimator can be written : $$ \widehat{\beta}_{Wald} = \frac{(\bar{y_1} - \bar{y_0})}{(\bar{x_1} - \bar{x_0})} $$ with :...