Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

DOI10.2307/2171789zbMath0862.62090OpenAlexW2100084310MaRDI QIDQ5690044

Bruce E. Hansen

Publication date: 2 June 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1802/4862

zbMATH Keywords

identificationMonte Carlonuisance parametersnonlinear modelsconditional probabilitythreshold models\(p\)-valuesself-exciting threshold autoregressive modelfunctionals of chi-square processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) General nonlinear regression (62J02)

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