SMABS 2004 Jena University
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European Association of Methodology

Department of methodology and evaluation research

Jena University

Contributions: Abstract

On the asymptotic null-distribution of tests at singular parameter points

Robert Offinger Norbert Gaffke
Universit├Ąt Magdeburg

Consider a null hypothesis H0:R(q) = 0 about the parameter vector q in a statistical model, where R is a given smooth multivariate function. The standard asymptotics for the null-distribution of the Wald statistic (as well as that of other test statistics, e.g., the maximum likelihood ratio statistic), applies when the Jacobian J(q) of R has full row rank. There are, however, examples of important models and hypotheses which do not meet this assumption, i.e., there are parameter points within the null hypothesis at which the Jacobian is rank deficient, and the standard chi-square asymptotics breaks down at such `singular points'. This is not caused by singularity of the information matrix, but is implied by the geometric structure of the null hypothesis.

We derive the asymptotic distributions of the Wald statistics at singular points of the null hypothesis, under a second order regularity condition. The results are illustrated for the null hypothesis of collapsibility of a 2×2×2 table and for the null hypothesis of unconfoundedness of a regression Y on X with respect to a potential confounder W, where Y, X, and W are dichotomous random variables.