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

Stephen G. Donald and Yu-Chin Hsu

Economics Letters, 2011, vol. 113, issue 3, 241-243

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).

Keywords: Hypothesis testing; Multivariate nonlinear one-sided tests; Nonlinear inequality constraints tests (search for similar items in EconPapers)
JEL-codes: C01 C12 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:113:y:2011:i:3:p:241-243

DOI: 10.1016/j.econlet.2011.07.018

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