Implicit Alternatives and the Local Power of Test Statistics.
The local power of test statistics is analyzed by considering sequences of data-generating processes (DGPs) that approach the null hypothesis without necessarily satisfying the alternative. The three classical test statistics-LR, Wald, and LM-are shown to tend asymptot ically to the same random variable under all such sequences. The powe r of these statistics depends on the null, the alternative, and the sequence of DGPs in a geometrically intuitive way. This implies that, for any statistic that is asymptotically chi-squared under the null, there exists an "implicit alternative hypothesis" against which that statistic will have highest power. Copyright 1987 by The Econometric Society.
Year of publication: |
1987
|
---|---|
Authors: | Davidson, Russell ; MacKinnon, James G |
Published in: |
Econometrica. - Econometric Society. - Vol. 55.1987, 6, p. 1305-29
|
Publisher: |
Econometric Society |
Saved in:
Saved in favorites
Similar items by person
-
Bootstrap Testing in Nonlinear Models.
Davidson, Russell, (1999)
-
Model Specification Tests Based on Artificial Linear Regressions.
Davidson, Russell, (1984)
-
Graphical Methods for Investigating the Size and Power of Hypothesis Tests.
Davidson, Russell, (1998)
- More ...