Inference when a nuisance parameter is not identified under the null hypothesis

Econometrica

Volumn 64, Issue 2, 1996, Pages 413-430

  Hansen, Bruce E ^a  

^a NONE

Author keywords

Asymptotic theory; Hypothesis testing; Identification; Nonlinear models; p values; Thresholds

Indexed keywords

TIME SERIES ANALYSIS;

AUTOREGRESSIVE MODEL; CONDITIONAL PROBABILITY; ECONOMIC DATA; GROWTH RATE; IDENTIFICATION; LIMIT DISTRIBUTION; NUISANCE PARAMETER; P VALUE; TEST STATISTIC; THRESHOLD;

STATISTICAL TESTS;

EID: 0030373966     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171789     Document Type: Article

References (23)

1. ANDREWS, D. W. K. (1993a): "An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables," Econometric Reviews, 12, 183-216.
2. _ (1993b): "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, 61, 821-856.
3. ANDREWS, D. W. K., AND W. PLOBERGER (1994): "Optimal Tests when a Nuisance Parameter is Present Only under the Alternative," Econometrica, 62, 1383-1414.
4. BIERENS, J. H. (1990): "A Consistent Conditional Moment Test of Functional Form," Econometrica, 58, 1443-1458.
5. CHAN, K. S. (1990): "Testing for Threshold Autoregression," The Annals of Statistics, 18, 1886-1894.
6. _ (1991): "Percentage Points of Likelihood Ratio Tests for Threshold Autoregression," Journal of the Royal Statistical Society, Series B, 53, 691-696.
7. DAVIES, R. B. (1977): "Hypothesis Testing when a Nuisance Parameter is Present Only under the Alternative," Biometrika, 64, 247-254.
8. _ (1987): "Hypothesis Testing when a Nuisance Parameter is Present Only under the Alternative," Biometrika, 74, 33-43.
9. DOUKHAN, P., P. MASSART, AND E. RIO (1994): "Invariance Principles for Absolutely Regular Empirical Processes," Annales de I'Institut H. Poincare, forthcoming.
10. GINE, E., AND J. ZINN (1990): "Bootstrapping General Empirical Measures," The Annals of Probability, 18, 851-869.
11. HANSEN, B. E. (1991): "Inference when a Nuisance Parameter is not Identified under the Null Hypothesis," Rochester Center for Economic Research Working Paper No. 296.
12. KING, M. L., AND T. S. SHIVELY (1991): "Locally Optimal Testing when a Nuisance Parameter is Present only under the Alternative," unpublished manuscript, Monash University.
13. LUUKKONEN, R., P. SAIKKONEN, AND T. TERASVIRTA (1988): "Testing Linearity Against Smooth Transition Autoregressive Models," Biometrika, 75, 491-499.
14. MACKINNON, J. G., AND H. WHITE (1985): "Some Heteroskedasticity-consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Journal of Econometrics, 29, 305-325.
15. PHAM, T. D., AND L. T. TRAN (1985): "Some Mixing Properties of Time Series Models," Stochastic Processes and their Applications, 19, 297-303.
16. POLLARD, D. (1984): Convergence of Stochastic Processes. NY: Springer-Verlag.
17. _ (1990): Empirical Processes: Theory and Applications. Hayward: Institute of Mathematical Statistics.
18. POTTER, S. M. (1995): A Nonlinear Approach to U.S. GNP," Journal of Applied Econometrics, forthcoming.
19. STINCHCOMB, M. B., AND H. WHITE (1993): "Consistent Specification Testing with Unidentified Nuisance Parameters Using Duality and Banach Space Limit Theory," unpublished manuscript, UCSD.
20. SWEETING, T. J. (1980): "Uniform Asymptotic Normality of the Maximum Likelihood Estimator," The Annals of Statistics, 8, 1375-1381.
21. TONG, H. (1983): Threshold Models in Non-linear Time Series Analysis, Lecture Notes in Statistics, 21. Berlin: Springer.
22. VOLKONSKII, V. A., AND Y. A. ROZANOV (1959): "Some Limit Theorems for Random Functions, Part I," Theory of Probability and Its Application, 4, 178-197.
23. WHITE, H. (1989): "An Additional Hidden Unit Test for Neglected Nonlinearity in Multilayer Feedforward Networks," Proceeding of the International Joint Conference on Neural Networks, II, Washington, D.C. New York, NY: IEEE Press, 451-455.