Testing joint hypotheses when one of the alternatives is one-sided

DOI10.1016/J.JECONOM.2006.07.022MaRDI QIDQ451289zbMATH OpenOpenAlexFDO

Authors Karim M. Abadir, Walter Distaso

Publication date 23 September 2012

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.07.022

zbMATH Keywords

hypergeometric functionsexact distributionsmixed one-sided and two-sided alternativestest powersunit-root tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Joint one-sided tests of linear regression coefficients
• Locally optimal one-sided tests for multiparameter hypotheses
• Testing multivariate one-sided hypotheses.
• Modified Lagrange multiplier tests for problems with one-sided alternatives
• scientific article; zbMATH DE number 815748

Cites work

• scientific article; zbMATH DE number 3940576 (Why is no real title available?)
• scientific article; zbMATH DE number 3984308 (Why is no real title available?)
• scientific article; zbMATH DE number 193111 (Why is no real title available?)
• scientific article; zbMATH DE number 775847 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3050768 (Why is no real title available?)
• scientific article; zbMATH DE number 3081880 (Why is no real title available?)
• A Complete Class Theorem for Multidimensional One-Sided Alternatives
• A complete class of tests when the likelihood is locally asymptotically quadratic.
• A conditional test for a non-negative mean vector based on a Hotelling's \(T^2\)-type statistic
• A multivariate analogue of the one-sided test
• An introduction to hypergeometric functions for economists
• Asymptotic methods in statistical decision theory
• Bootstrapping unstable first-order autoregressive processes
• Combining independent chi squared or F tests
• Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case
• Detecting parameter redundancy
• Expansions for some confluent hypergeometric functions
• Hypothesis testing with a restricted parameter space
• Identification in Parametric Models
• Inference for Lorenz curve orderings
• Invariance, Nonlinear Models, and Asymptotic Tests
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
• Log-periodogram regression of time series with long range dependence
• Minimal complete classes of tests of hypotheses with multivariate one- sided alternatives
• Modified Lagrange multiplier tests for problems with one-sided alternatives
• Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
• ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS
• On second-order optimality of the observed Fisher information
• On the Differential Geometry of the Wald Test with Nonlinear Restrictions
• On the Theory of Testing for Unit Roots in Observed Time Series
• One-Sided Testing Problems in Multivariate Analysis
• Residual-Based Block Bootstrap for Unit Root Testing
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Testing For Unit Roots: 1
• Testing a time series for difference stationarity
• Testing for a unit root in time series regression
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The emperor's new tests. (With comments and a rejoinder).
• The limiting distribution of the autocorrelation coefficient under a unit root
• The power of the circular cone test: A noncentral chi-bar-squared distribution
• Uniformly More Powerful Tests for Hypotheses Concerning Linear Inequalities and Normal Means
• Uniformly more powerful, one-sided tests for hypotheses about linear inequalities
• Wald Criteria for Jointly Testing Equality and Inequality Restrictions

Cited in

(18)

• Testing for a unit root in a random coefficient panel data model
• Modified Lagrange multiplier tests for problems with one-sided alternatives
• Testing for unit root processes in random coefficient autoregressive models
• Estimation under inequality constraints: semiparametric estimation of conditional duration models
• Wald, likelihood ratio, and infinite induced test statistics for joint one-sided hypothesis
• Testing multivariate one-sided hypotheses.
• On hypothesis testing with a partitioned random alternative
• Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
• A new unit root test against ESTAR based on a class of modified statistics
• A unit root test based on smooth transitions and nonlinear adjustment
• Two-sample test against one-sided alternatives
• scientific article; zbMATH DE number 815748 (Why is no real title available?)
• Residual-based rank specification tests for AR-GARCH type models
• Joint one-sided tests of linear regression coefficients
• A Score Test Against One-Sided Alternatives
• Nonlinear error correction based cointegration test in panel data
• A unit root test against globally stationary ESTAR models when local condition is non-stationary
• On Monte Carlo estimation of relative power

Describes a project that uses

Uses Software

• longmemo

This page was built for publication: Testing joint hypotheses when one of the alternatives is one-sided

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q451289)