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Hypothesis Testing with a Restricted Parameter Space Author info | Abstract | Publisher info | Download info | Related research | Statistics Donald W.K. Andrews () (Cowles Foundation, Yale University )
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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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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 1994Date of revision:
Publication status: Published in Journal of Econometrics (1998), 84: 155-199Handle: RePEc:cwl:cwldpp:1060rNote: CFP 960.Contact details of provider: Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA Phone: (203) 432-3702 Fax: (203) 432-6167 Web page: http://cowles.econ.yale.edu/ More information through EDIRC
Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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