This article used the Wald test to evaluate the item‐level fit of a saturated cognitive diagnosis model (CDM) relative to the fits of the reduced models it subsumes. A simulation study was carried out to examine the Type I error and power of the Wald test in the context of the G‐DINA model. Results show that when the sample size is small and a larger number of attributes are required, the Type I error rate of the Wald test for the DINA and DINO models can be higher than the nominal significance levels, while the Type I error rate of the A‐CDM is closer to the nominal significance levels. However, with larger sample sizes, the Type I error rates for the three models are closer to the nominal significance levels. In addition, the Wald test has excellent statistical power to detect when the true underlying model is none of the reduced models examined even for relatively small sample sizes. The performance of the Wald test was also examined with real data. With an increasing number of CDMs from which to choose, this article provides an important contribution toward advancing the use of CDMs in practical educational settings.