Hypothesis Testing with a Restricted Parameter Space

Donald Andrews ()

No 1060R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper considers hypothesis tests for nonlinear econometric models when the parameter space is restricted under the alternative hypothesis. Multivariate one-sided tests are a leading example. Asymptotically optimal tests are derived using a weighted average power criterion. In addition, the likelihood ratio test is shown to be asymptotically admissible and to maximize asymptotic power against alternatives that are arbitrarily distant from the null hypothesis. For Gaussian linear regression models with known variance, analogous exact finite sample results are established.

Pages: 63 pages
Date: 1994-06
New Economics Papers: this item is included in nep-ecm
Note: CFP 960.
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Citations: View citations in EconPapers (2)

Published in Journal of Econometrics (1998), 84: 155-199

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