Invariance, Nonlinear Models, and Asymptotic Tests

DOI10.2307/2938281zbMath0745.62103MaRDI QIDQ3989218

Jean-Marie Dufour, Marcel G. Dagenais

Publication date: 28 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938281

zbMATH Keywords

likelihood ratio test; Wald test; asymptotic tests; regression models; Lagrange multiplier test; Box-Cox transformations; reparametrizations; consistent estimators of the information matrix; changes in measurement units; formulation of restrictions; invariance to one-to-one transformations of the model variables; invariance to one-to-one transformations of the parameter space; invariance to the representation of the null hypothesis; Neyman's \(C(\alpha)\)

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J02: General nonlinear regression

62F05: Asymptotic properties of parametric tests

Related Items

SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE, Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results, Invariance and the Wald test, Simulation-based exact jump tests in models with conditional heteroskedasticity, Nonlinear models, rescaling and test invariance, The equality of comparable extended families of classical-type and Hausman-type statistics, Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions., BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonlinear models, rescaling and test invariance
• A Generalization of the Durbin Significance Test and Its Application to Dynamic Specification
• Alternative Asymptotically Optimal Tests and Their Application to Dynamic Specification
• On unification of the asymptotic theory of nonlinear econometric models
• Specification Tests in Econometrics
• Maximum Likelihood Estimation of Misspecified Models