Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
From MaRDI portal
Publication:4614276
DOI10.3982/ECTA10535zbMath1410.62029MaRDI QIDQ4614276
Ulrich K. Müller, Mark W. Watson, Graham Elliott
Publication date: 30 January 2019
Published in: Econometrica (Search for Journal in Brave)
nuisance parameter; linear regression; least favorable distribution; composite hypothesis; maximin tests; nonstandard hypothesis testing problems
Related Items
THE ET INTERVIEW: PROFESSOR MAX KING, CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS, ASYMPTOTIC THEORY FOR KERNEL ESTIMATORS UNDER MODERATE DEVIATIONS FROM A UNIT ROOT, WITH AN APPLICATION TO THE ASYMPTOTIC SIZE OF NONPARAMETRIC TESTS, NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS, Non-standard tests through a composite null and alternative in point-identified parameters, Subvector inference when the true parameter vector may be near or at the boundary, Nearly weighted risk minimal unbiased estimation, Testing for parameter instability in predictive regression models, Solving Euler equations via two-stage nonparametric penalized splines, Continuous record Laplace-based inference about the break date in structural change models, Simple tests for stock return predictability with good size and power properties, Consistent inference for predictive regressions in persistent economic systems, Testing for parameter instability and structural change in persistent predictive regressions, Testing for episodic predictability in stock returns, Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models, Semiparametric testing with highly persistent predictors, Estimation and inference about tail features with tail censored data, Testing for a trend with persistent errors, Efficient size correct subset inference in homoskedastic linear instrumental variables regression, Regression discontinuity designs, white noise models, and minimax, Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors, Does modeling a structural break improve forecast accuracy?, On the size distortion of a test for equality between the ATE and FE estimands, Bonferroni-based size-correction for nonstandard testing problems
