Hypothesis testing with a restricted parameter space
AbstractThis paper considers hypothesis tests for nonlinear econometric models when the parameter space is restricted under the alternative hypothesis. Multivariate one-sided tests are a leading example. Asymptotically optimal tests are derived using a weighted average power criterion. In addition, the likelihood ratio test is shown to be asymptotically admissible and to maximize asymptotic power against alternatives that are arbitrarily distant from the null hypothesis. For Gaussian linear regression models with known variance, analogous exact finite sample results are established.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 84 (1998)
Issue (Month): 1 (May)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Donald W.K. Andrews, 1994. "Hypothesis Testing with a Restricted Parameter Space," Cowles Foundation Discussion Papers 1060R, Cowles Foundation for Research in Economics, Yale University.
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