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Hypothesis Testing with a Restricted Parameter Space

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

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Abstract

This 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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File URL: http://cowles.econ.yale.edu/P/cp/p09b/p0960.pdf
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File URL: http://cowles.econ.yale.edu/P/cd/d10b/d1060-r.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1060R.

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Length: 63 pages
Date of creation: Jun 1994
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Publication status: Published in Journal of Econometrics (1998), 84: 155-199
Handle: RePEc:cwl:cwldpp:1060r

Note: CFP 960.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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