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Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative

This paper establishes the asymptotic admissibility of the likelihood ratio (LR) test for a general class of testing problems in which a nuisance parameter is present only under the alternative hypothesis. The paper also establishes the finite sample admissibility of the LR test for testing problems of this sort that arise in Gaussian linear regression models with known variance.

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File URL: http://cowles.econ.yale.edu/P/cd/d10b/d1058.pdf
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Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1058.

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Length: 32 pages
Date of creation: Jul 1993
Date of revision:
Publication status: Published in Annals of Statistics (1995), 23(5): 1609-1629
Handle: RePEc:cwl:cwldpp:1058
Note: CFP 916.
Contact details of provider: 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/

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Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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  1. Andrews, Donald W. K. & Lee, Inpyo & Ploberger, Werner, 1996. "Optimal changepoint tests for normal linear regression," Journal of Econometrics, Elsevier, vol. 70(1), pages 9-38, January.
  2. Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
  3. Andrews, Donald W.K., 1986. "Empirical process methods in econometrics," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 37, pages 2247-2294 Elsevier.
  4. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
  5. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
  6. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
  7. Donald W.K. Andrews, 1990. "Generic Uniform Convergence," Cowles Foundation Discussion Papers 940, Cowles Foundation for Research in Economics, Yale University.
  8. Perron, P., 1991. "A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series," Papers 363, Princeton, Department of Economics - Econometric Research Program.
  9. Donald W.K. Andrews, 1986. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers," Cowles Foundation Discussion Papers 790, Cowles Foundation for Research in Economics, Yale University.
  10. repec:cup:etheor:v:8:y:1992:i:2:p:241-57 is not listed on IDEAS
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