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Cited by 2,466

The DOI matches its Crossref record.

Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

Andrews, Donald W. K., Ploberger, Werner·1994·Econometrica
DOI 10.2307/2951753
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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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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)
DOI
10.2307/2951753
OpenAlex
W2104267426
Cited by
2,466
References
0
FWCI
22.01
Type
journal article
Language
en
Open access
closed

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