Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative
This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. The results of the paper are of interest, because the testing problem considered in non-standard and the classical asymptotic optimality results for the Wald, Lagrange multiplier (LM), and likelihood ratio (LR) tests do not apply. In the non-standard cases of main interest, new optimal tests are obtained and the LR test is not found to be an optimal test.
|Date of creation:||Apr 1992|
|Date of revision:|
|Publication status:||Published in Econometrica (November 1994), 62(6): 1383-1414|
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