Admissibility of the Likelihood Ratio Test when the Parameter Space is Restricted under the Alternative

DOI10.2307/2171868zbMath0844.62018OpenAlexW2037380287MaRDI QIDQ4883110

Donald W. K. Andrews

Publication date: 1 September 1996

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171868

zbMATH Keywords

likelihood ratio testpanel data modelARCH effectsGaussian linear regression modelsdynamic nonlinear modelstests of positive definiteness of variance matricestests of positive first-order serial correlationtests of positivitytests of skewness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Parametric inference under constraints (62F30) Admissibility in statistical decision theory (62C15)

Related Items (8)

ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION ⋮ Hypothesis testing with a restricted parameter space ⋮ Likelihood ratio tests for a dose‐response effect using multiple nonlinear regression models ⋮ Size Distortion in the Analysis of Volatility and Covolatility Effects ⋮ Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations ⋮ An idiographic approach to estimating models of dyadic interactions with differential equations ⋮ Tests for cointegration rank and choice of the alternative ⋮ Bahadur intercept with applications to one-sided testing

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