Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values

DOI10.1007/978-3-319-41573-4_4MaRDI QIDQ4595749zbMATH OpenOpenAlexFDO

Authors Hannes Leeb, Benedikt M. Pötscher

Publication date 6 December 2017

Published in Contributions to Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.4543

zbMATH Keywords

econometricsnuisance parameterspost-model-selectionrandom critical valuestesting

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Parametric tolerance and confidence regions (62F25) Applications of statistics to economics (62P20)

Abstract: We point out that the ideas underlying some test procedures recently proposed for testing post-model-selection (and for some other test problems) in the econometrics literature have been around for quite some time in the statistics literature. We also sharpen some of these results in the statistics literature. Furthermore, we show that some intuitively appealing testing procedures, that have found their way into the econometrics literature, lead to tests that do not have desirable size properties, not even asymptotically.

Recommendations

• Hypothesis testing in the presence of nuisance parameters
• Testing problems with nuisance parameters: Linear models under non-classical assumptions
• A Test in the Presence of Nuisance Parameters
• scientific article; zbMATH DE number 18856
• Nearly optimal tests when a nuisance parameter is present under the null hypothesis
• scientific article; zbMATH DE number 1995702

Cited in

(11)

• Hypothesis testing in the presence of nuisance parameters
• Bonferroni-based size-correction for nonstandard testing problems
• Testing problems with nuisance parameters: Linear models under non-classical assumptions
• Test sizes and the importance of finding global maxima of the likelihood function
• Inference after model averaging in linear regression models
• Testing with a nuisance parameter present only under the alternative: a score-based approach with application to segmented modelling
• Uniformly valid inference based on the Lasso in linear mixed models
• HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION
• Locally simultaneous inference
• The ET interview: Benedikt M. Pötscher
• Testing regression coefficients after model selection through sign restrictions

This page was built for publication: Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4595749)