Hypothesis Testing with a Restricted Parameter Space
AbstractThis 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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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1060R.
Length: 63 pages
Date of creation: Jun 1994
Date of revision:
Publication status: Published in Journal of Econometrics (1998), 84: 155-199
Note: CFP 960.
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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
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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.
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.:
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Cowles Foundation Discussion Papers
940, Cowles Foundation for Research in Economics, Yale University.
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