Bounds for inference with nuisance parameters present only under the alternative
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Publication:4416025
DOI10.1111/1368-423X.00095zbMath1018.62104OpenAlexW3125935064MaRDI QIDQ4416025
Valentina Corradi, Filippo Altissimo
Publication date: 7 August 2003
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00095
Related Items (7)
Predictive density and conditional confidence interval accuracy tests ⋮ Liquidity traps and large-scale financial crises ⋮ MODEL SELECTION AND INFERENCE: FACTS AND FICTION ⋮ A model selection method for S‐estimation ⋮ Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present only under the Alternative: An Application to Switching Regression Models ⋮ Deciding between GARCH and stochastic volatility via strong decision rules ⋮ A consistent test for nonlinear out of sample predictive accuracy.
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