This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Classes of Similar Regions and Their Power Properties for Some Econometric Testing Problems

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Hillier, Grant H.

Additional information is available for the following registered author(s):

Abstract

In an hypothesis testing problem involving nuisance parameters for which boundedly complete sufficient statistics exist under the null hypothesis, the class of all similar regions for the problem is characterized by the conditional distribution of the data given these sufficient statistics. If there exists a one-to-one transformation y (t, u) of the data, y, to the sufficient statistic, t, and a second vector of statistics, u, that is independent of t under the null hypothesis, then the statistic u itself characterizes the class of similar regions. This paper applies this idea to five testing problems of interest in econometrics. In each case we obtain the density of the relevant statistic under the null hypothesis, when it is free of nuisance parameters, and under the alternative. Using the density under the alternative, we discuss the power properties of the class of similar tests for each problem. Other applications are also suggested.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://journals.cambridge.org/abstract_S0266466600004114
File Format: text/html
File Function: link to article abstract page
Download Restriction: no

Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 3 (1987)
Issue (Month): 01 (February)
Pages: 1-44
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:3:y:1987:i:01:p:1-44_00

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Email:
Web page: http://journals.cambridge.org/jid_ECT

For technical questions regarding this item, or to correct its listing, contact: (Mike Eden).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Patrick Marsh, . "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York. [Downloadable!]
  2. Giovanni Forchini, . "The Geometry of Similar Tests for Structural Change," Discussion Papers 00/55, Department of Economics, University of York. [Downloadable!]
  3. Giovanni Forchini, 2005. "Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model," Monash Econometrics and Business Statistics Working Papers 20/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  4. Martellosio, Federico, 2006. "Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression," MPRA Paper 7255, University Library of Munich, Germany, revised Aug 2008. [Downloadable!]
  5. Grant Hillier, 2006. "On the conditional likelihood ratio test for several parameters in IV regression," CeMMAP working papers CWP26/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  6. Giovanni Forchini & Patrick Marsh, . "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York. [Downloadable!]
  7. Patrick Marsh, 2006. "Constructing Optimal Tests on a Lagged Dependent Variable," Discussion Papers 06/19, Department of Economics, University of York. [Downloadable!]
  8. Patrick Marsh, . "Nonparametric Likelihood Ratio Tests," Discussion Papers 00/56, Department of Economics, University of York. [Downloadable!]
  9. G. Forchini, 2005. "Some Properties of Tests for Possibly Unidentified Parameters," Monash Econometrics and Business Statistics Working Papers 21/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
Statistics
Access and download statistics

Did you know? Springer Verlag was the first commercial publisher to be listed on RePEc.

This page was last updated on 2009-11-24.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.