Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics
Year of publication: |
2005
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Authors: | DUFOUR, Jean-Marie |
Institutions: | Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) |
Subject: | Monte Carlo test | maximized monte Carlo test | finite sample test | exact test | nuisance parameter | bounds | bootstrap | parametric bootstrap | simulated annealing | asymptotics | nonstandard asymptotic distribution |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 45 pages |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C2 - Econometric Methods: Single Equation Models ; C52 - Model Evaluation and Testing ; C22 - Time-Series Models |
Source: |
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Dufour, Jean-Marie, (2005)
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DUFOUR, Jean-Marie, (2005)
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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
Bernard, Jean-Thomas, (2001)
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Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models
TCHATOKA, Firmin DOKO, (2014)
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DUFOUR, Jean-Marie, (2013)
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BEAULIEU, Marie-Claude, (2002)
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