Invariance, Nonlinear Models, and Asymptotic Tests

DOI10.2307/2938281zbMath0745.62103OpenAlexW1993701774MaRDI QIDQ3989218

Marcel G. Dagenais, Jean-Marie Dufour

Publication date: 28 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938281

zbMATH Keywords

likelihood ratio testWald testasymptotic testsregression modelsLagrange multiplier testBox-Cox transformationsreparametrizationsconsistent estimators of the information matrixchanges in measurement unitsformulation of restrictionsinvariance to one-to-one transformations of the model variablesinvariance to one-to-one transformations of the parameter spaceinvariance to the representation of the null hypothesisNeyman's \(C(\alpha)\)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) General nonlinear regression (62J02) Asymptotic properties of parametric tests (62F05)

Related Items (16)

Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models ⋮ Multiple Improvements of Multiple Imputation Likelihood Ratio Tests ⋮ The equality of comparable extended families of classical-type and Hausman-type statistics ⋮ Testing joint hypotheses when one of the alternatives is one-sided ⋮ Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models ⋮ Simulation-based exact jump tests in models with conditional heteroskedasticity ⋮ Nonlinear models, rescaling and test invariance ⋮ SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE ⋮ Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Invariance and the Wald test ⋮ Bilinear form test statistics for extremum estimation ⋮ BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST ⋮ Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence ⋮ Invariant tests based onM-estimators, estimating functions, and the generalized method of moments ⋮ Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.

Cites Work

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• Nonlinear models, rescaling and test invariance
• A Generalization of the Durbin Significance Test and Its Application to Dynamic Specification
• Alternative Asymptotically Optimal Tests and Their Application to Dynamic Specification
• On unification of the asymptotic theory of nonlinear econometric models
• Specification Tests in Econometrics
• Maximum Likelihood Estimation of Misspecified Models

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