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Wald test of model specification

returns
a logical value (`h`

= waldtest(`r`

,`R`

,`EstCov`

)`h`

) with the rejection decision
from conducting a Wald
test of model specification.

`waldtest`

constructs the test statistic using
the restriction function and its Jacobian, and the value of the unrestricted
model covariance estimator, all evaluated at the unrestricted parameter
estimates (`r`

, `R`

, and `EstCov`

,
respectively).

If any input argument is a cell vector of length

*k*> 1, then the other input arguments must be cell arrays of length*k*.`waldtest`

(`r`

,`R`

,`EstCov`

) treats each cell as a separate, independent test, and returns a vector of rejection decisions.If any input argument is a row vector, then the software returns output arguments as row vectors.

[1] Davidson, R. and J. G. MacKinnon. *Econometric
Theory and Methods*. Oxford, UK: Oxford University Press,
2004.

[2] Godfrey, L. G. *Misspecification Tests in Econometrics*.
Cambridge, UK: Cambridge University Press, 1997.

[3] Greene, W. H. *Econometric Analysis*.
6th ed. Upper Saddle River, NJ: Pearson Prentice Hall, 2008.

[4] Hamilton, J. D. *Time Series Analysis*.
Princeton, NJ: Princeton University Press, 1994.

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