Hodges-Lehmann optimality for testing moment conditions

DOI10.1016/j.jeconom.2012.06.014zbMath1443.62123OpenAlexW1977673642MaRDI QIDQ528073

Ivan A. Canay, Taisuke Otsu

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001728

zbMATH Keywords

generalized method of momentslarge deviationsasymptotic optimalitymoment conditiongeneralized empirical likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Related Items (4)

A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters ⋮ EL inference for partially identified models: large deviations optimality and bootstrap validity ⋮ On Bahadur efficiency of empirical likelihood ⋮ Bahadur intercept with applications to one-sided testing

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• On asymptotically optimal tests

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