Wald Statistic

For each parameter estimate, the Wald statistic is computed as the square of the ratio of the parameter estimate over the estimated standard error of the estimated coefficient.

The Wald statistic is asymptotically distributed as with one degree of freedom and can be used to test the hypothesis that the parameter is equal to 0. The estimated standard error of the i^th estimated coefficient, , is the square root of the i^th diagonal element of the estimated covariance matrix, , that is, .