Admissibility of the Likelihood Ratio Test when the Parameter Space is Restricted under the Alternative

DOI10.2307/2171868MaRDI QIDQ4883110zbMATH OpenOpenAlexFDO

Authors Donald W. K. Andrews

Publication date 1 September 1996

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2171868

zbMATH Keywords

ARCH effectsdynamic nonlinear modelsGaussian linear regression modelslikelihood ratio testpanel data modeltests of positive definiteness of variance matricestests of positive first-order serial correlationtests of positivitytests of skewness

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Parametric hypothesis testing (62F03) Parametric inference under constraints (62F30) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(17)

• Admissibility of unbiased tests for a composite hypothesis with a restricted alternative
• Hypothesis testing with a restricted parameter space
• A defense of the likelihood ratio test for one-sided and order-restricted alternatives
• Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative
• Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations
• Bahadur intercept with applications to one-sided testing
• Size distortion in the analysis of volatility and covolatility effects
• ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
• scientific article; zbMATH DE number 4161960 (Why is no real title available?)
• scientific article; zbMATH DE number 3965197 (Why is no real title available?)
• On the LRT for the multidimensional exponential family under restricted alternative space
• scientific article; zbMATH DE number 815748 (Why is no real title available?)
• An idiographic approach to estimating models of dyadic interactions with differential equations
• Adaptive critical value for constrained likelihood ratio testing
• Likelihood ratio tests for a dose-response effect using multiple nonlinear regression models
• Tests for cointegration rank and choice of the alternative
• On testing a class of restricted hypotheses

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