IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v5y1989i01p1-35_01.html
   My bibliography  Save this article

Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models

Author

Listed:
  • Wolak, Frank A.

Abstract

This paper considers a general nonlinear econometric model framework that contains a large class of estimators defined as solutions to optimization problems. For this framework we derive several asymptotically equivalent forms of a test statistic for the local (in a way made precise in the paper) multivariate nonlinear inequality constraints test H : h (β) ≥ 0 versus K : β null R . We extend these results to consider local hypotheses tests of the form H : h 1 (β) ≥ 0 and h 2 (β) = 0 versus K : β null R . For each test we derive the asymptotic distribution for any size test as a weighted sum of χ 2 -distributions. We contrast local as opposed to global inequality constraints testing and give conditions on the model and constraints when each is possible. This paper also extends the well-known duality results in testing multivariate equality constraints to the case of nonlinear multivariate inequality constraints and combinations of nonlinear inequality and equality constraints.

Suggested Citation

  • Wolak, Frank A., 1989. "Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(01), pages 1-35, April.
  • Handle: RePEc:cup:etheor:v:5:y:1989:i:01:p:1-35_01
    as

    Download full text from publisher

    File URL: http://journals.cambridge.org/abstract_S0266466600012238
    File Function: link to article abstract page
    Download Restriction: no

    References listed on IDEAS

    as
    1. Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, pages 95-131.
    2. Phillips, P. C. B., 1987. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Econometric Theory, Cambridge University Press, pages 45-68.
    3. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(03), pages 468-497, December.
    4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, pages 277-301.
    5. Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, pages 95-131.
    6. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, pages 311-340.
    7. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, pages 277-301.
    8. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, pages 311-340.
    9. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, pages 113-144.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:5:y:1989:i:01:p:1-35_01. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: http://journals.cambridge.org/jid_ECT .

    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.

    We have no references for this item. You can help adding them by using 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.