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Slutsky theorem
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Wald statistic for linear restrictions
Created
2026-09-24
Updated
2026-09-24
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For
a
full-row-rank
k
×
p
matrix
R
and the
null hypothesis
Rθ
=
r
, put
W
n
,
R
=
n
(
R
θ
n
−
r
)
T
[
R
I
(
θ
n
)
−
1
R
T
]
−
1
(
R
θ
n
−
r
)
.
(1)
Under the null,
asymptotic normality
and
Slutsky theorem
give
W
n
,
R
d
χ
k
2
.
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