Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

Donald W. K. Andrews; Werner Ploberger

doi:10.2307/2951753

Abstract

This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to tests of structural change with unknown changepoint. The testing problem considered is nonstandard and the classical asymptotic optimality results for the Lagrange multiplier, Wald, and likelihood ratio do not apply. A weighted average power criterion is used here to generate optimal tests. This criterion is similar to that used by A. Wald (1943) to obtain the classical asymptotic optimality properties of Wald tests in 'regular' testing problems. Copyright 1994 by The Econometric Society.

Keywords

NuisanceEconometricsNuisance parameterEconomicsMathematicsStatisticsBiologyEcology

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Publication Info

Year: 1994
Type: article
Volume: 62
Issue: 6
Pages: 1383-1383
Citations: 2486
Access: Closed

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APA Style

                            
                                    Donald W. K. Andrews, 
                                
                                    Werner Ploberger
                                
                            (1994). 
                            Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative. 
                            Econometrica
                            , 62
                            (6)
                            , 1383-1383.
                            https://doi.org/10.2307/2951753

Identifiers

DOI: 10.2307/2951753