Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics

DOI10.1016/j.jeconom.2005.06.007zbMath1345.62037OpenAlexW2149862193MaRDI QIDQ275245

Publication date: 25 April 2016

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

Full work available at URL: https://depot.erudit.org/id/002897dd

zbMATH Keywords

bootstrap asymptotics simulated annealing bounds nuisance parameter Monte Carlo test parametric bootstrap exact test finite-sample test maximized Monte Carlo test nonstandard asymptotic distribution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

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