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Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative

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Author Info
Donald W.K. Andrews () (Cowles Foundation, Yale University)
Werner Ploberger (Cowles Foundation, Yale University)

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Abstract

This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. The results of the paper are of interest, because the testing problem considered in non-standard and the classical asymptotic optimality results for the Wald, Lagrange multiplier (LM), and likelihood ratio (LR) tests do not apply. In the non-standard cases of main interest, new optimal tests are obtained and the LR test is not found to be an optimal test.

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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1015.

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Length: 62 pages
Date of creation: Apr 1992
Date of revision:
Publication status: Published in Econometrica, 62(6), 1994
Handle: RePEc:cwl:cwldpp:1015

Note: CFP 879.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Asymptotics changepoint nonstandard testing problem

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing

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