A new approximate point optimal test of a composite null hypothesis

Journal of Econometrics

Volumn 130, Issue 1, 2006, Pages 101-122

  Sriananthakumar, Sivagowry ^a   King, Maxwell L ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Composite hypotheses; Generalized Neyman Pearson lemma; Maximal invariant; Point optimal testing

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; ERROR ANALYSIS; MATHEMATICAL MODELS; OPTIMAL CONTROL SYSTEMS;

COMPOSITE HYPOTHESES; GENERALIZED NEYMAN-PEARSON LEMMA; MAXIMAL INVARIANT; POINT OPTIMAL TESTING;

REGRESSION ANALYSIS;

EID: 28244495124     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.08.020     Document Type: Article

References (16)

1. G.C. Chow Demand for Automobiles in the United States 1957 North-Holland Amsterdam
2. A. Corana, M. Marchesi, C. Martini, and S. Ridella Minimizing multinomial functions of continuous variables with the simulated annealing algorithm ACM Transactions of Mathematical Software 13 1987 262 280
3. J. Durbin, and G.S. Watson Testing for serial correlation in least squares regression II Biometrika 38 1951 159 178
4. W.L. Goffe, G.D. Ferrier, and J. Rogers Global optimization of statistical functions with simulated annealing Journal of Econometrics 60 1994 65 99
5. C.W.J. Granger, and P. Newbold Spurious regressions in econometrics Journal of Econometrics 2 1974 111 120
6. W.E. Griffiths, R.C. Hill, and G.G. Judge Learning and Practicing Econometrics 1993 Wiley New York
7. M.L. King Testing for autoregressive against moving average errors in the linear regression model Journal of Econometrics 21 1983 35 51
8. M.L. King A point optimal test for autoregressive disturbances Journal of Econometrics 27 1985 21 37
9. M.L. King Towards a theory of point optimal testing Econometric Reviews 6 1987 169 218
10. E.L. Lehmann Testing Statistical Hypotheses 2nd ed 1986 Wiley New York
11. P. Newbold, and N. Davies Error mis-specifications and spurious regressions International Economic Review 2 1978 513 519
12. S. Rahman, and M.L. King A comparison of marginal likelihood based and approximate point optimal tests for random regression coefficients in the presence of autocorrelation Pakistan Journal of Statistics 10 1994 375 394
13. Silvapulle, P., 1991. Testing non-nested disturbances. Unpublished Ph.D. Thesis, Monash University.
14. P. Silvapulle Testing for AR(1) against IMA(1,1) disturbances in the linear regression model Communication in Statistics Theory and Methods 23 1994 701 720
15. P. Silvapulle, and M.L. King Testing moving average against autoregressive disturbances in the linear regression model Journal of Business and Economic Statistics 9 1991 329 335
16. Tsionas, E,G., 1995. GAUSS version of Bill Goffe's simulated annealing program for global optimization. Unpublished paper, Internet address: http://gurukul.ucc.american.edu/econ/gaussres/optimize/anneal.src.