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The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models

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Author Info
Wolak, Frank A
Abstract

This paper derives several properties unique to nonlinear model hypothesis testing problems involving linear or nonlinear inequality constraints in the null or alternative hypothesis. The paper is organized around a lemma that characterizes the set containing the least favorable parameter value for a nonlinear model inequality constraints hypothesis test. The author then presents two examples that illustrate several implications of this lemma. He also discusses the impact of these properties on the empirical implementation and interpretation of these test procedures. Copyright 1991 by The Econometric Society.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 59 (1991)
Issue (Month): 4 (July)
Pages: 981-95
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Handle: RePEc:ecm:emetrp:v:59:y:1991:i:4:p:981-95

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  1. Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics. [Downloadable!]
  2. Philip A. Haile & Han Hong & Matthew Shum, 2003. "Nonparametric Tests for Common Values at First-Price Sealed-Bid Auctions," NBER Working Papers 10105, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Matt Shum & Phil Haile & Han Hong, 2003. "Nonparametric Tests for Common Values in First-Price Auctions," Economics Working Paper Archive 501, The Johns Hopkins University,Department of Economics. [Downloadable!]
  4. Lokshin,Boris & Carree,Martin & Belderbos,René, 2004. "Testing for complementarity and substitutability in case of multiple practices," Research Memoranda 002, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  5. Susan Athey & Scott Stern, 1998. "An Empirical Framework for Testing Theories About Complimentarity in Organizational Design," NBER Working Papers 6600, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Laurent Lamy, 2008. "The econometrics of auctions with asymmetric anonymous bidders," PSE Working Papers 2008-64, PSE (Ecole normale supérieure). [Downloadable!]
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  7. Kuan Xu & Gordon Fisher, 2006. "Myopic loss aversion and margin of safety: the risk of value investing," Quantitative Finance, Taylor and Francis Journals, vol. 6(6), pages 481-494, December. [Downloadable!] (restricted)
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