Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative

Donald Andrews () and Werner Ploberger

No 1015, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. The results of the paper are of interest, because the testing problem considered in non-standard and the classical asymptotic optimality results for the Wald, Lagrange multiplier (LM), and likelihood ratio (LR) tests do not apply. In the non-standard cases of main interest, new optimal tests are obtained and the LR test is not found to be an optimal test.

Keywords: Asymptotics; changepoint; nonstandard testing problem (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Pages: 62 pages
Date: 1992-04
Note: CFP 879.
References: View complete reference list from CitEc
Citations: View citations in EconPapers (49)

Published in Econometrica (November 1994), 62(6): 1383-1414

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