A new test for linear inequality constraints when the variance–covariance matrix depends on the unknown parameters
AbstractWe extend Hansen’s (2005) test to testing hypotheses involving general inequality constraints where the variance–covariance matrix of the functions in the constraints depends on the unknown parameters. The test can be applied to a wider class of problems than Wolak’s (1991).
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 113 (2011)
Issue (Month): 3 ()
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Hypothesis testing; Multivariate nonlinear one-sided tests; Nonlinear inequality constraints tests;
Find related papers by JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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