A new test for linear inequality constraints when the variance–covariance matrix depends on the unknown parameters

We extend Hansen’s (2005) test to testing hypotheses involving general inequality constraints where the variance–covariance matrix of the functions in the constraints depends on the unknown parameters. The test can be applied to a wider class of problems than Wolak’s (1991).

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Year of publication:	2011
Authors:	Donald, Stephen G. ; Hsu, Yu-Chin
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 113.2011, 3, p. 241-243
Publisher:	Elsevier
Subject:	Hypothesis testing \| Multivariate nonlinear one-sided tests \| Nonlinear inequality constraints tests

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Type of publication:	Article
Classification:	C01 - Econometrics ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

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