Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis

Graham Elliott (), Ulrich K. Müller and Mark Watson

Econometrica, 2015, vol. 83, 771-811

Abstract: This paper considers nonstandard hypothesis testing problems that involve a nuisance parameter. We establish an upper bound on the weighted average power of all valid tests, and develop a numerical algorithm that determines a feasible test with power close to the bound. The approach is illustrated in six applications: inference about a linear regression coefficient when the sign of a control coefficient is known; small sample inference about the difference in means from two independent Gaussian samples from populations with potentially different variances; inference about the break date in structural break models with moderate break magnitude; predictability tests when the regressor is highly persistent; inference about an interval identified parameter; and inference about a linear regression coefficient when the necessity of a control is in doubt.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (80)

Downloads: (external link)
http://hdl.handle.net/

Related works:
Working Paper: Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:emetrp:v:83:y:2015:i::p:771-811

Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues

Access Statistics for this article

Econometrica is currently edited by Guido W. Imbens

More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().