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Locally optimal one-sided tests for multiparameter hypotheses

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  • Maxwell King
  • Ping Wu

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 16 (1997)
Issue (Month): 2 ()
Pages: 131-156

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Handle: RePEc:taf:emetrv:v:16:y:1997:i:2:p:131-156

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Related research

Keywords: autoregressive disturbances; heteroscedasticity; Lagrange multiplier test; linear regression; locally most mean powerful test; variance components;

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Cited by:
  1. Andrews, Donald W. K., 1998. "Hypothesis testing with a restricted parameter space," Journal of Econometrics, Elsevier, vol. 84(1), pages 155-199, May.
  2. Francq, Christian & Zakoian, Jean-Michel, 2008. "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper 16672, University Library of Munich, Germany.
  3. B.P.M. McCabe & G.M. Martin & R.K. Freeland, 2004. "Testing for Dependence in Non-Gaussian Time Series Data," Monash Econometrics and Business Statistics Working Papers 13/04, Monash University, Department of Econometrics and Business Statistics.
  4. Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor and Francis Journals, vol. 19(2), pages 145-174.
  5. Ping, Wu & King, Maxwell L., 1996. "Small-sample power of tests for inequality restrictions: The case of quarter-dependent regression errors," Economics Letters, Elsevier, vol. 52(2), pages 121-127, August.
  6. Erling Häggström, 2002. "Properties of Honda’s test of random individual effects in non-linear regressions," Statistical Papers, Springer, vol. 43(2), pages 177-196, April.
  7. Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.
  8. Badi Baltagi & Seuck Song, 2006. "Unbalanced panel data: A survey," Statistical Papers, Springer, vol. 47(4), pages 493-523, October.
  9. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
  10. Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society.
  11. Yves Croissant & Giovanni Millo, . "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, American Statistical Association, vol. 27(i02).
  12. Walter Sosa Escudero, 2007. "Testing for Persistence in the Error Component Model:A One-Sided Approach," Working Papers 94, Universidad de San Andres, Departamento de Economia, revised Feb 2007.
  13. Badi Baltagi & Seuck Heun Song & Byoung Cheol Jung, 2002. "Simple Lm Tests For The Unbalanced Nested Error Component Regression Model," Econometric Reviews, Taylor and Francis Journals, vol. 21(2), pages 167-187.
  14. Rahman, Shahidur & King, Maxwell L., 1997. "Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 81-106.
  15. Kurata, Hiroshi, 2004. "One-sided tests for independence of seemingly unrelated regression equations," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 393-406, August.

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