Modified Lagrange multiplier tests for problems with one-sided alternatives

DOI10.1016/0304-4076(86)90065-5zbMath0604.62051OpenAlexW1986516778MaRDI QIDQ1083155

Alan J. Rogers

Publication date: 1986

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(86)90065-5

zbMATH Keywords

weak convergencenuisance parametersWald testone-sided alternativesconstrained maximum likelihood estimatorboundary of the parameter spaceconsistency of testsKuhn-Tucker testmodified Lagrange multiplier test

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15)

Related Items (12)

UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL ⋮ Testing for jumps in the EGARCH process ⋮ Hypothesis testing with a restricted parameter space ⋮ Wald, likelihood ratio, and infinite induced test statistics for joint one-sided hypothesis ⋮ Testing joint hypotheses when one of the alternatives is one-sided ⋮ Locally optimal one-sided tests for multiparameter hypotheses ⋮ Detection of change in persistence of a linear time series ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root? ⋮ Testing for EGARCH Against Stochastic Volatility Models ⋮ Testing for jumps in the stochastic volatility models ⋮ An appraisal of some aspects of statistical inference under inequality constraints

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing inequality constraints in linear econometric models
• Asymptotic properties of maximum likelihood estimates in the mixed model of the analysis of variance
• Nonlinear Regression with Dependent Observations
• THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS
• Non-Normality of the Lagrange Multiplier Statistic for Testing the Constancy of Regression Coefficients
• A Remark on Hausman's Specification Test
• Testing linear inequality constraints in the standard linear model
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
• Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
• Tests of the Equilibrium vs. Disequilibrium Hypotheses
• On asymptotic tests of composite hypotheses in nonstandard conditions
• On the Problem of Testing Location in Multivariate Populations for Restricted Alternatives
• One-Sided Testing Problems in Multivariate Analysis
• Testing Homogeneity Against Ordered Alternatives
• A Partition Theorem for Euclidean n-Space
• A multivariate analogue of the one-sided test
• On the Distribution of the Likelihood Ratio
• Maximum Likelihood Estimation of Misspecified Models

This page was built for publication: Modified Lagrange multiplier tests for problems with one-sided alternatives