Testing When a Parameter Is on the Boundary of the Maintained Hypothesis
This paper considers testing problems where several of the standard regularity conditions fail to hold. We consider the case where (i) parameter vectors in the null hypothesis may lie on the boundary of the maintained hypothesis and (ii) there may be a nuisance parameter that appears under the alternative hypothesis, but not under the null. The paper establishes the asymptotic null and local alternative distributions of quasi-likelihood ratio, rescaled quasi-likelihood ratio, Wald, and score tests in this case. The results apply to tests based on a wide variety of extremum estimators and apply to a wide variety of models. Examples treated in the paper are: (1) tests of the null hypothesis of no conditional heteroskedasticity in a GARCH(1, 1) regression model and (2) tests of the null hypothesis that some random coefficients have variances equal to zero in a random coefficients regression model with (possibly) correlated random coefficients.
|Date of creation:||Jul 1999|
|Date of revision:|
|Publication status:||Published in Econometrics (2001), 69(3): 683-734|
|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.yale.edu/
More information through EDIRC
|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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.:
- Donald W.K. Andrews, 1990.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Cowles Foundation Discussion Papers
943, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Andrews, Donald W K, 1996. "Admissibility of the Likelihood Ratio Test When the Parameter Space Is Restricted under the Alternative," Econometrica, Econometric Society, vol. 64(3), pages 705-18, May.
- Andrews, Donald W. K., 1998.
"Hypothesis testing with a restricted parameter space,"
Journal of Econometrics,
Elsevier, vol. 84(1), pages 155-199, May.
- Donald W.K. Andrews, 1994. "Hypothesis Testing with a Restricted Parameter Space," Cowles Foundation Discussion Papers 1060R, Cowles Foundation for Research in Economics, Yale University.
- Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(03), pages 295-313, December.
- Andrews, Donald W K, 1994. "Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 62(1), pages 43-72, January.
When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1229. 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: (Matthew C. Regan)
If references are entirely missing, you can add them using this form.