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Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis

Listed author(s):
  • Hansen, B.E.

The authors study the asymptotic distribution of econometric tests involving nuisance parameters that are not identified under the null hypotheses. In general, the asymptotic distributions depend upon a large number of unknown parameters. The authors show that a transformation based upon a conditional probability measure yields an asymptotic distribution free of nuisance parameters and they show that this transformation can be easily approximated via simulation. The theory is applied to threshold models. Monte Carlo methods are used to assess the finite sample distributions. The authors' tests show that S. M. Potter's (1995) finding of a threshold effect in U.S. GNP growth rates can be possibly explained by sampling variation. Copyright 1996 by The Econometric Society.

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Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 296.

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Length: 43 pages
Date of creation: 1991
Handle: RePEc:roc:rocher:296
Contact details of provider: Postal:
University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.

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