NEARLY OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT UNDER THE NULL HYPOTHESIS

被引:74
作者
Elliott, Graham [1 ]
Mueller, Ulrich K. [2 ]
Watson, Mark W. [2 ]
机构
[1] Univ Calif San Diego, La Jolla, CA 92093 USA
[2] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA
关键词
Least favorable distribution; composite hypothesis; maximin tests; CONFIDENCE-INTERVALS; EFFICIENT TESTS; INVARIANT TESTS; INFERENCE; REGRESSION; MODELS; BREAK; POINT; SIZE;
D O I
10.3982/ECTA10535
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper considers nonstandard hypothesis testing problems that involve a nuisance parameter. We establish an upper bound on the weighted average power of all valid tests, and develop a numerical algorithm that determines a feasible test with power close to the bound. The approach is illustrated in six applications: inference about a linear regression coefficient when the sign of a control coefficient is known; small sample inference about the difference in means from two independent Gaussian samples from populations with potentially different variances; inference about the break date in structural break models with moderate break magnitude; predictability tests when the regressor is highly persistent; inference about an interval identified parameter; and inference about a linear regression coefficient when the necessity of a control is in doubt.
引用
收藏
页码:771 / 811
页数:41
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