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Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
Abstract
This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to tests of structural change with unknown changepoint. The testing problem considered is nonstandard and the classical asymptotic optimality results for the Lagrange multiplier, Wald, and likelihood ratio do not apply. A weighted average power criterion is used here to generate optimal tests. This criterion is similar to that used by A. Wald (1943) to obtain the classical asymptotic optimality properties of Wald tests in 'regular' testing problems. Copyright 1994 by The Econometric Society.
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Citations
Cited by
Estimating and Testing Linear Models with Multiple Structural Changes
Bai, J., & Perron, P. (1998) · Econometrica · doi:10.2307/2998540 · Cited by 6,112
Threshold effects in non-dynamic panels: Estimation, testing, and inference
Hansen, B. E. (1999) · Journal of Econometrics · doi:10.1016/s0304-4076(99)00025-1 · Cited by 5,260
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Self-citationTesting for Indeterminacy: An Application to U.S. Monetary Policy
Lubik, T. A., & Schorfheide, F. (2004) · American Economic Review · doi:10.1257/000282804322970760 · Cited by 868
Non-linearity between finance and growth
Deidda, L., & Fattouh, B. (2002) · Economics Letters · doi:10.1016/s0165-1765(01)00571-7 · Cited by 458
Metadata
- Authors
- Andrews, D. W. K., & Ploberger, W.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1994-11
- Volume
- 62
- Issue
- 6
- Pages
- 1383
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2104267426
- Cited by
- 2,466
- References
- 0
- FWCI
- 22.01
- Type
- journal article
- Language
- en
- Open access
- closed
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