Wald estimator

E766783

econometric method method of statistical inference statistical estimator

The Wald estimator is a statistical method used in econometrics and causal inference to estimate parameters by dividing an estimated effect by its standard error, forming the basis of the Wald test.

Jump to: Statements Referenced by

Statements (47)

Predicate	Object
instanceOf	econometric method ⓘ method of statistical inference ⓘ statistical estimator ⓘ
advantage	does not require estimation under the alternative hypothesis for simple tests ⓘ
appliesTo	generalized linear models ⓘ linear regression models ⓘ nonlinear regression models ⓘ structural equation models ⓘ
assumes	asymptotic normal distribution of the estimator ⓘ large sample size ⓘ regularity conditions for maximum likelihood estimators ⓘ
basedOn	asymptotic normality of estimators ⓘ maximum likelihood estimation ⓘ
category	asymptotic test ⓘ parametric inference method ⓘ
comparedWith	likelihood ratio estimator ⓘ score (Lagrange multiplier) estimator NERFINISHED ⓘ
developedIn	20th century ⓘ
hasAlternativeName	Wald statistic NERFINISHED ⓘ Wald-type estimator NERFINISHED ⓘ
hasComponent	estimated standard error of parameter ⓘ point estimate of parameter ⓘ
hasForm	parameter estimate divided by its standard error ⓘ
introducedBy	Abraham Wald NERFINISHED ⓘ
limitation	can be unreliable when parameter is near the boundary of the parameter space ⓘ can perform poorly in small samples ⓘ sensitive to poor standard error estimation ⓘ
namedAfter	Abraham Wald NERFINISHED ⓘ
relatedTo	Wald test NERFINISHED ⓘ likelihood ratio test ⓘ score test ⓘ t-statistic ⓘ z-statistic ⓘ
usedFor	construction of confidence intervals ⓘ estimating local average treatment effects in simple IV settings ⓘ hypothesis testing ⓘ parameter estimation ⓘ testing joint significance of multiple parameters ⓘ testing linear restrictions on parameters ⓘ testing nonlinear restrictions on parameters ⓘ testing significance of regression coefficients ⓘ
usedIn	causal inference ⓘ econometrics ⓘ instrumental variables analysis ⓘ statistics ⓘ
yields	test statistic with asymptotic chi-squared distribution ⓘ test statistic with asymptotic standard normal distribution in scalar case ⓘ

Referenced by (1)

Full triples — surface form annotated when it differs from this entity's canonical label.

Wald → notableConcept → Wald estimator ⓘ

subject surface form: Abraham Wald