Modified Lagrange multiplier tests for problems with one-sided alternatives

DOI10.1016/0304-4076(86)90065-5MaRDI QIDQ1083155zbMATH OpenOpenAlexFDO

Authors 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

boundary of the parameter spaceconsistency of testsconstrained maximum likelihood estimatorKuhn-Tucker testmodified Lagrange multiplier testnuisance parametersone-sided alternativesWald testweak convergence

Mathematics Subject Classification ID

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

Review text

A modified Lagrange multiplier test statistic is proposed which takes explicit account of the one-sided nature of the alternative in problems where the null hypothesis specifies that the true value of the parameter vector lies on the boundary of the parameter space. Computation of this statistic requires only the constrained maximum likelihood estimator. Conditions for the consistency of tests based on this statistic are examined and it is shown that the distribution of the statistic is not affected if nuisance parameters are allowed to lie on the boundary of the parameter space.

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Cites work

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Cited in

(13)

• Testing for jumps in the stochastic volatility models
• Hypothesis testing with a restricted parameter space
• An appraisal of some aspects of statistical inference under inequality constraints
• Detection of change in persistence of a linear time series
• Small sample properties of alternative forms of the Lagrange multiplier test
• Locally optimal one-sided tests for multiparameter hypotheses
• Testing joint hypotheses when one of the alternatives is one-sided
• A test of the null of integer integration against the alternative of fractional integration
• Testing for EGARCH Against Stochastic Volatility Models
• UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL
• 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 jumps in the EGARCH process
• Wald, likelihood ratio, and infinite induced test statistics for joint one-sided hypothesis

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