A new approximate point optimal test of a composite null hypothesis

DOI10.1016/J.JECONOM.2004.08.020MaRDI QIDQ269396zbMATH OpenOpenAlexFDO

Authors Sivagowry Sriananthakumar, Maxwell L. King

Publication date 18 April 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2004.08.020

zbMATH Keywords

composite hypothesesgeneralized Neyman-Pearson lemmamaximal invariantpoint optimal testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

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• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• Testing for ar(1) against ima(1,1) disturbances in the linear regression model
• Testing for autoregressive against moving average errors in the linear regression model

Cited in

(4)

• scientific article; zbMATH DE number 4184659 (Why is no real title available?)
• Testing for a trend with persistent errors
• Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach
• Testing composite hypotheses, Hermite polynomials and optimal estimation of a nonsmooth functional

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