Locally Optimal Testing When a Nuisance Parameter Is Present Only under the Alternative.

A-Tier
Journal: Review of Economics and Statistics
Year: 1993
Volume: 75
Issue: 1
Pages: 1-7

Authors (2)

King, Maxwell L (Monash University) Shively, Thomas S (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The authors consider hypothesis testing problems in which a nuisance parameter is present only under the alternative hypothesis. Standard asymptotic tests, such as likelihood ratio, Lagrange multiplier and Wald tests, are difficult to apply because o f problems incurred in obtaining their asymptotic distributions. To overcome this difficulty, the authors reparameterize the testing problem to one for which an exact small sample test can be construct ed using existing hypothesis testing procedures. The reparameterization technique is applied to two examples from the econometrics literatur e, and an empirical power comparison shows that their test has better power properties than tests previously proposed in the literature. Further, p-values for their test can be computed. in O(n) operations so the test can be implemented efficiently. Copyright 1993 by MIT Press.

Technical Details

RePEc Handle
repec:tpr:restat:v:75:y:1993:i:1:p:1-7
Journal Field
General
Author Count
2
Added to Database
2026-01-25