# Questions tagged [wald-estimator]

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### 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 ...
97 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 ...
188 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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### 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 ...
16 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 ...
28 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 $\lambda_A$...
173 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 ...
72 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 ...
49 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 ...
400 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 ...
3k 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), ...
1k 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 ...
274 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 ...
411 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 ...
67 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 $H_0: \psi =1$. ...
2k 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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### 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 ...
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 :...