Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative

Donald Andrews () and Werner Ploberger

No 1058, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper establishes the asymptotic admissibility of the likelihood ratio (LR) test for a general class of testing problems in which a nuisance parameter is present only under the alternative hypothesis. The paper also establishes the finite sample admissibility of the LR test for testing problems of this sort that arise in Gaussian linear regression models with known variance.

Pages: 32 pages
Date: 1993-07
Note: CFP 916.
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Citations: View citations in EconPapers (8)

Published in Annals of Statistics (1995), 23(5): 1609-1629

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