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Asymptotic Tests of Composite Hypotheses

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Peter Hansen

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Paper provided by Brown University, Department of Economics in its series Working Papers with number 2003-09.

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Date of creation: 2003
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Handle: RePEc:bro:econwp:2003-09

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Postal: Department of Economics, Brown University, Providence, RI 02912

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  1. Andrews, Donald W. K., 1998. "Hypothesis testing with a restricted parameter space," Journal of Econometrics, Elsevier, vol. 84(1), pages 155-199, May. [Downloadable!] (restricted)
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  2. Wolak, Frank A, 1991. "The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models," Econometrica, Econometric Society, vol. 59(4), pages 981-95, July. [Downloadable!] (restricted)
  3. Wolak, Frank A., 1989. "Testing inequality constraints in linear econometric models," Journal of Econometrics, Elsevier, vol. 41(2), pages 205-235, June. [Downloadable!] (restricted)
  4. Dufour, Jean-Marie, 1990. "Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors," Econometrica, Econometric Society, vol. 58(2), pages 475-94, March. [Downloadable!] (restricted)
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(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. Chiara Monfardini & J.M.C. Santos Silva, 2008. "What can we learn about correlations from multinomial probit estimates?," Economics Bulletin, Economics Bulletin, vol. 3(28), pages 1-9. [Downloadable!]
    Other versions:
  2. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889. [Downloadable!]
    Other versions:
  3. Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2008. "Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary," CeMMAP working papers CWP08/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  4. Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  5. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," Working Paper 2005-02, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
  6. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," Working Paper 2003-28, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:
  7. Park, Cheol-Ho & Irwin, Scott H., 2005. "A Reality Check on Technical Trading Rule Profits in US Futures Markets," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19039, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
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