Question: Let W be a Wald statistic for H0 : 0 versus H1 : 6 0, where is q 1. Since W

Let W be a Wald statistic for H0 : µ Æ 0 versus H1 : µ 6Æ 0, where µ is q £1. Since W ¡!

d

Â2 q

under H0, someone suggests the test “Reject H0 if W Ç c1 or W È c2, where c1 is the ®/2 quantile of Â2 q

and c2 is the 1¡®/2 quantile of Â2 q .

(a) Show that the asymptotic size of the test is ®.

(b) Is this a good test of H0 versus H1? Why or why not?

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