Search Results - subject:"nuisance parameter"

Structural change in macroeconomic time series: A complex systems perspective

Hinich, MJ; Foster, J; Wild, P - 2006

We demonstrate that the process of generating smooth transitions Call be viewed as a natural result of the filtering operations implied in the generation of discrete-time series observations from the sampling of data from an underlying continuous time process that has undergone a process of...

Persistent link: https://www.econbiz.de/10009448044

Asymptotically Nuisance-Parameter-Free Consistent Tests of Lp-Functional Form

Hill, Jonathan - Department of Economics, Florida International University - 2006

reduction of the nuisance parameter space to the set of integers which greatly simplifies asymptotic theory, and allows for … removal of the nuisance parameter in a mechanical fashion. Our results provide a fresh vantage into why Bierens’ (1990) moment … nuisance parameter free be cause it incorporate s all possible nuisance paramete r values. Our test serves as a consistent …

Persistent link: https://www.econbiz.de/10005190282

Constructing Optimal Tests on a Lagged Dependent Variable

Marsh, Patrick - Department of Economics and Related Studies, University … - 2006

Via the leading unit root case, the problem of testing on a lagged dependent variable is characterized by a nuisance … parameter which is present only under the alternative (see Andrews and Ploberger (1994)). This has proven a barrier to the …

Persistent link: https://www.econbiz.de/10005328474

Third-order local power properties of tests for a composite hypothesis

Kakizawa, Yoshihide - In: Journal of Multivariate Analysis 114 (2013) C, pp. 303-317

This paper addresses, for a composite hypothesis about a subvector of the parameters in the parametric model, the issues posed by Rao and Mukerjee (1995) [22] and Li (2001) [14] on the power under a sequence of local alternatives. It is shown that a partially adjusted test statistic in a class...

Persistent link: https://www.econbiz.de/10011041993

Estimation in the presence of many nuisance parameters: Composite likelihood and plug-in likelihood

Wu, Billy; Yao, Qiwei; Zhu, Shiwu - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2877-2898

We consider the incidental parameters problem in this paper, i.e. the estimation for a small number of parameters of interest in the presence of a large number of nuisance parameters. By assuming that the observations are taken from a multiple strictly stationary process, the two estimation...

Persistent link: https://www.econbiz.de/10010666237

Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2005

The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided it does not involve nuisance parameters). We extend this method in two ways:...

Persistent link: https://www.econbiz.de/10005100868

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

(unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns …

Persistent link: https://www.econbiz.de/10005100963

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2005

(unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns …

Persistent link: https://www.econbiz.de/10008671570

Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics

DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2005

Persistent link: https://www.econbiz.de/10008671575

Improved chi-squared tests for a composite hypothesis

Kakizawa, Yoshihide - In: Journal of Multivariate Analysis 107 (2012) C, pp. 141-161

a given test statistic is available. Revisiting the CM/T-approaches developed in the absence of a nuisance parameter …, Rao’s and Wald’s test statistics in the presence of a nuisance parameter. …

Persistent link: https://www.econbiz.de/10011042086