Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative

DOI10.1214/aos/1176324316zbMath0843.62023OpenAlexW2081789018MaRDI QIDQ1914262

Werner Ploberger, Donald W. K. Andrews

Publication date: 21 August 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324316

zbMATH Keywords

likelihood ratio testnonlinear modelsempirical processautoregressive modelsthreshold effectsexamplesGaussian linear regression modelasymptotic admissibilityBox-Cox transformed regressor modelschangepoint testcross-sectional constancyfinite sample admissibilityfirst order generalized autoregressive conditional heteroskedasticitynuisance parameter under alternativesup Lagrange multiplier testssup Wald testvariable relevancewhite noise versus first-order autoregressive moving average structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Admissibility in statistical decision theory (62C15) Asymptotic properties of parametric tests (62F05)

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