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A new test for linear inequality constraints when the variance–covariance matrix depends on the unknown parameters

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  • Donald, Stephen G.
  • Hsu, Yu-Chin

Abstract

We extend Hansen’s (2005) test to testing hypotheses involving general inequality constraints where the variance–covariance matrix of the functions in the constraints depends on the unknown parameters. The test can be applied to a wider class of problems than Wolak’s (1991).

Suggested Citation

  • Donald, Stephen G. & Hsu, Yu-Chin, 2011. "A new test for linear inequality constraints when the variance–covariance matrix depends on the unknown parameters," Economics Letters, Elsevier, vol. 113(3), pages 241-243.
  • Handle: RePEc:eee:ecolet:v:113:y:2011:i:3:p:241-243
    DOI: 10.1016/j.econlet.2011.07.018
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    References listed on IDEAS

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    1. Joseph P. Romano & Michael Wolf, 2005. "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
    2. Donald W. K. Andrews & Panle Jia Barwick, 2012. "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Econometrica, Econometric Society, vol. 80(6), pages 2805-2826, November.
    3. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
    4. 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.
    5. Wolak, Frank A, 1991. "The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models," Econometrica, Econometric Society, vol. 59(4), pages 981-995, July.
    6. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
    7. Donald W. K. Andrews & Gustavo Soares, 2010. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Econometrica, Econometric Society, vol. 78(1), pages 119-157, January.
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    Citations

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    Cited by:

    1. Huber, Martin, 2012. "Statistical verification of a natural "natural experiment": Tests and sensitivity checks for the sibling sex ratio instrument," Economics Working Paper Series 1219, University of St. Gallen, School of Economics and Political Science.
    2. David M. Kaplan & Longhao Zhuo, 2015. "Frequentist size of Bayesian inequality tests," Working Papers 1802, Department of Economics, University of Missouri, revised 26 Feb 2018.
    3. Martin Huber, 2015. "Testing the Validity of the Sibling Sex Ratio Instrument," LABOUR, CEIS, vol. 29(1), pages 1-14, March.

    More about this item

    Keywords

    Hypothesis testing; Multivariate nonlinear one-sided tests; Nonlinear inequality constraints tests;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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