In hypothesis testing with nuisance parameters present only under the alternative two issues typically arise: (i) critical values are date dependent and so cannot be tabulated; (ii) we need to choose a functional over the nuisance parameter space. We address the first issue by providing easily computable bounds for the case of dependent and heterogeneous observations. We tackle the second issue by suggesting a weighted average statistic with weights given by the (quasi) likelihood over the nuisance parameter space. The small sample behavior of our procedure is analyzed via few Monte Carlo simulations; we consider conditional moment tests and tests for nonlinearities in the SETAR model. For samples of 200-400 observations, the behavior of the suggested weighted average statistic is rather satisfactory. An empirical illustration using date on U.S. male unemployment is provided.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by University of Exeter, School of Business and Economics in its series Discussion Papers with number
00/13.
Length: 40 pages Date of creation: 2000 Date of revision: Handle: RePEc:fth:exetec:00/13
Contact details of provider: Postal: School of Business and Economics University of Exeter Streatham Court Rennes Drive Exeter EX4 4PU Phone: (01392) 263218 Fax: (01392) 263242 Web page: http://www.exeter.ac.uk/sobe/ More information through EDIRC
Find related papers by JEL classification: C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General J16 - Labor and Demographic Economics - - Demographic Economics - - - Economics of Gender; Non-labor Discrimination J64 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - Unemployment: Models, Duration, Incidence, and Job Search
Cited by: (explanations, 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.)