Hypothesis Testing with a Restricted Parameter Space
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.Download Info
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.Bibliographic Info
Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1060R.
Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 63 pages
Date of creation: Jun 1994
Date of revision:
Publication status: Published in Journal of Econometrics (1998), 84: 155-199
Handle: RePEc:cwl:cwldpp:1060r
Note: 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
For corrections or technical questions regarding this item, or to correct its listing, contact: (Glena Ames).
Related research
Keywords:Other versions of this item:
- Andrews, Donald W. K., 1998. "Hypothesis testing with a restricted parameter space," Journal of Econometrics, Elsevier, vol. 84(1), pages 155-199, May.
- NEP-ALL-2000-06-29 (All new papers)
- NEP-ECM-2000-06-29 (Econometrics)
References
No references listed on IDEASYou can help add them by filling out this form.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Breitung, J. & Pesaran, M.H., 2005.
"Unit Roots and Cointegration in Panels,"
Cambridge Working Papers in Economics
0535, Faculty of Economics, University of Cambridge.
- Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series 1565, CESifo Group Munich.
- Jörg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," IEPR Working Papers 05.32, Institute of Economic Policy Research (IEPR).
- Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank, Research Centre.
- Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics.
- Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-427, Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Mehmet Caner & Bruce E. Hansen, 1998.
"Threshold Autoregressions with a Near Unit Root,"
Departmental Working Papers
9821, Bilkent University, Department of Economics.
- Caner,M. & Hansen,B.E., 1998. "Threshold autoregression with a near unit root," Working papers 27, Wisconsin Madison - Social Systems.
- Duangkamon Chotikapanich & William E. Griffiths, 2003.
"Averaging Lorenz Curves,"
Monash Econometrics and Business Statistics Working Papers
22/03, Monash University, Department of Econometrics and Business Statistics.
- Duangkamon Chotikapanich & William Griffiths, 2005. "Averaging Lorenz curves," Journal of Economic Inequality, Springer, vol. 3(1), pages 1-19, April.
- Stephen G. Cecchetti & Anil K Kashyap & David W. Wilcox, 1995. "Do Firms Smooth the Seasonal in Production in a Boom? Theory and Evidence," NBER Working Papers 5011, National Bureau of Economic Research, Inc.
- Jan R. Magnus & Andrey L. Vasnev, 2007.
"Local sensitivity and diagnostic tests,"
Econometrics Journal,
Royal Economic Society, vol. 10(1), pages 166-192, 03.
- Magnus, J.R. & Vasnev, A.L., 2004. "Local Sensitivity and Diagnostic Tests," Discussion Paper 2004-105, Tilburg University, Center for Economic Research.
- Markku Lanne, 2006.
"Nonlinear dynamics of interest rate and inflation,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168.
- Lanne , Markku, 2002. "Nonlinear dynamics of interest rate and inflation," Research Discussion Papers 21/2002, Bank of Finland.
- Markku Lanne, 2004. "Nonlinear dynamics of interest rate and inflation," Macroeconomics 0405014, EconWPA.
- Hilmer, Christiana E. & Holt, Matthew T., 2000. "A Comparison Of Resampling Techniques When Parameters Are On A Boundary: The Bootstrap, Subsample Bootstrap, And Subsample Jackknife," 2000 Annual meeting, July 30-August 2, Tampa, FL 21810, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Andrews, Donald W K, 2001.
"Testing When a Parameter Is on the Boundary of the Maintained Hypothesis,"
Econometrica,
Econometric Society, vol. 69(3), pages 683-734, May.
- Donald W.K. Andrews, 1999. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Cowles Foundation Discussion Papers 1229, Cowles Foundation for Research in Economics, Yale University.
- Oliver Linton & Douglas G. Steigerwald, 1995.
"Adaptive Testing in ARCH Models,"
Cowles Foundation Discussion Papers
1105, Cowles Foundation for Research in Economics, Yale University.
- Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor and Francis Journals, vol. 19(2), pages 145-174.
- repec:her:chewps:2006/14 is not listed on IDEAS
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009.
"Hypothesis testing in econometrics,"
IEW - Working Papers
iewwp444, Institute for Empirical Research in Economics - University of Zurich.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010. "Hypothesis Testing in Econometrics," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 75-104, 09.
- Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society.
Lists
This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.Statistics
Access and download statisticsCorrections
When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1060rFor technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Glena Ames).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.

