Testing When a Parameter is on the Boundary of the Maintained Hypothesis
From MaRDI portal
Publication:4531016
DOI10.1111/1468-0262.00210zbMath0999.62010OpenAlexW2108075367MaRDI QIDQ4531016
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d12/d1229.pdf
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)
Related Items
A parametric bootstrap test for cycles, UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL, Extension of the Schwarz information criterion for models sharing parameter boundaries, Estimation of copula-based semiparametric time series models, A fast subsampling method for nonlinear dynamic models, On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space, Multinomial choice models based on Archimedean copulas, Modelling security market events in continuous time: intensity based, multivariate point process models, Likelihood Ratio Tests in Linear Mixed Models with One Variance Component, Synchronization of cycles, Regime switching for dynamic correlations, Testing for jumps in the EGARCH process, On asymptotically optimal tests under loss of identifiability in semiparametric models, Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models, Estimation with overidentifying inequality moment conditions, On asymptotic theory for multivariate GARCH models, Zero-inefficiency stochastic frontier models with varying mixing proportion: a semiparametric approach, Inference under right censoring for transformation models with a change-point based on a covariate threshold, Inference and testing on the boundary in extended constant conditional correlation GARCH models, Testing for volatility jumps in the stochastic volatility process, A note on the coverage behaviour of bootstrap percentile confidence intervals for constrained parameters, New testing approaches for mean-variance predictability, Simulated Method of Moments Estimation for Copula-Based Multivariate Models, Adjustments of Rao's score test for distributional and local parametric misspecifications, DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS, QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS, Size Distortion in the Analysis of Volatility and Covolatility Effects, Dynamic treatment regimes: technical challenges and applications, A smoothed \(p\)-value test when there is a nuisance parameter under the alternative, Change-Plane Analysis for Subgroup Detection with a Continuous Treatment, Nonparametric Scanning Tests of Homogeneity for Hierarchical Models with Continuous Covariates, GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, Dynamic conditional eigenvalue GARCH, Bootstrap Adjustment to Minimum p-Value Method for Predictive Classification, Order selection with confidence for finite mixture models, Bootstrap adjusted predictive classification for identification of subgroups with differential treatment effects under generalized linear models, Wald, QLR, and score tests when parameters are subject to linear inequality constraints, Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model, Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary, Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood, Monetary policy when wages are downwardly rigid: Friedman meets Tobin, Empirical framework for two-player repeated games with random states, Testing lumpability for marginal discrete hidden Markov models, Maximum likelihood estimation of stochastic frontier models with endogeneity, Conditional asymmetry in power ARCH\((\infty)\) models, Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model, First difference maximum likelihood and dynamic panel estimation, DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS, Specification testing in random coefficient models, A predictability test for a small number of nested models, Robust score and portmanteau tests of volatility spillover, TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE, Inference in second-order identified models, Generic results for establishing the asymptotic size of confidence sets and tests, The matching of lead underwriters and issuing firms in the Japanese corporate bond market, Estimation and testing linearity for non-linear mixed Poisson autoregressions, Subvector inference when the true parameter vector may be near or at the boundary, Testing for randomness in a random coefficient autoregression model, An LM test based on generalized residuals for random effects in a nonlinear model, ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP, Simulation-based exact jump tests in models with conditional heteroskedasticity, Revisiting Tests for Neglected Nonlinearity Using Artificial Neural Networks, Testing for sign and amplitude asymmetries using threshold autoregressions, Testing for jumps and jump intensity path dependence, Exact tests of the stability of the Phillips curve: the Canadian case, A zero inefficiency stochastic frontier model, Tests for qualitative features in the random coefficients model, Simulation-based finite-sample tests for heteroskedasticity and ARCH effects, Testing for reduction to random walk in autoregressive conditional heteroskedasticity models, Generalized score test of homogeneity for mixed effects models, Testing for observation-dependent regime switching in mixture autoregressive models, Identification robust inference in cointegrating regressions, Neglected heterogeneity in moment condition models, Testing for unobserved heterogeneity in exponential and Weibull duration models, Applications of subsampling, hybrid, and size-correction methods, Generalized runs tests for the IID hypothesis, Non-standard inference for augmented double autoregressive models with null volatility coefficients, Detecting business cycle asymmetries using artificial neural networks and time series models, On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators, FSEM: Functional Structural Equation Models for Twin Functional Data, Lack-of-fit tests in linear mixed models with application to wavelet tests, A note on portmanteau tests for conditional heteroscedastistic models, Asset pricing with incomplete information and fat tails, TESTING GARCH-X TYPE MODELS, Asymptotic inference for the constrained quantile regression process, Testing overidentifying restrictions with a restricted parameter space, QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES, A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS, Testing inequality constraints in a linear regression model with spherically symmetric disturbances, ESTIMATING DYNAMIC DISCRETE CHOICE MODELS WITH HYPERBOLIC DISCOUNTING, WITH AN APPLICATION TO MAMMOGRAPHY DECISIONS, Reconceptualizing the p -value from a likelihood ratio test: a probabilistic pairwise comparison of models based on Kullback-Leibler discrepancy measures, Asymptotics for estimation and testing procedures under loss of identifiability, Imposing and Testing for Shape Restrictions in Flexible Parametric Models, Regression Analysis of Multivariate Fractional Data, Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
