Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative

This paper establishes the asymptotic admissibility of the likelihood ratio (LR) test for a general class of testing problems in which a nuisance parameter is present only under the alternative hypothesis. The paper also establishes the finite sample admissibility of the LR test for testing problems of this sort that arise in Gaussian linear regression models with known variance.

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Year of publication:	1993-07
Authors:	Andrews, Donald W.K. ; Ploberger, Werner
Institutions:	Cowles Foundation for Research in Economics, Yale University

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 916. Published in Annals of Statistics (1995), 23(5): 1609-1629 The price is None Number 1058 32 pages
Source:	RePEc - Research Papers in Economics

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