Search Results - subject:"nuisance parameter"

Indirect Inference, Nuisance Parameter and Threshold Moving Average

Guay, Alain; Scaillet, Olivier - Centre de Recherche sur l'Emploi et les Fluctuations … - 1999

We analyse the modifications that occur in indirect inference when a nuisance parameter is not identified under the …

Persistent link: https://www.econbiz.de/10005572490

Unit root tests and assymmetric adjustment

Berben, R-P.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1999

Standard unit root tests are misspecified in case the variable of interest is stationary but displays asymmetric adjustment towards its long-run equilibrium and, consequently, may suffer from a lack of power against such alternatives. This observation recently has aroused interest in developing...

Persistent link: https://www.econbiz.de/10008584687

The Hausman Test Statistic can be Negative even Asymptotically

Schreiber, Sven - In: Jahrbücher für Nationalökonomie und Statistik 228 (2008) 4, pp. 394-405

preferable solution still is to impose the same nuisance parameter (i.e., residual variance) estimate under the null and …

Persistent link: https://www.econbiz.de/10014609192

The Hausman Test Statistic can be Negative even Asymptotically

Schreiber, Sven - In: Journal of Economics and Statistics (Jahrbuecher fuer … 228 (2008) 4, pp. 394-405

still is to impose the same nuisance parameter (i.e., residual variance) estimate under the null and alternative hypotheses …

Persistent link: https://www.econbiz.de/10005790541

Testing linearity against smooth transition autoregression using a parametric bootstrap

Skalin, Joakim - Economics Institute for Research (SIR), … - 1998

When testing the null hypothesis of linearity of a univariate time series against smooth transition autoregression (STAR), standard asymptotic distribution results do not apply since nuisance parameters in the model are unidentified under the null hypothesis. The prevailing test of Luukkonen,...

Persistent link: https://www.econbiz.de/10005649293

Maximizing a Family of Optimal Statistics over a Nuisance Parameter with Applications to Genetic Data Analysis

Zheng, Gang - In: Journal of Applied Statistics 31 (2004) 6, pp. 661-671

nuisance parameter not defined under the null hypothesis. This arises from genetic linkage and association studies and other … hypothesis testing problems. The maximum of optimal statistics over the nuisance parameter space can be used as a robust test in … to the unknown nuisance parameter. Examples from genetic linkage analysis using affected sub pairs and a candidate …

Persistent link: https://www.econbiz.de/10005495230

Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type

Szimayer, A.; Maller, R. - In: Statistical Inference for Stochastic Processes 7 (2004) 2, pp. 95-113

Persistent link: https://www.econbiz.de/10005616007

Tensors and likelihood expansions in the presence of nuisance parameters

Pace, Luigi; Salvan, Alessandra - In: Annals of the Institute of Statistical Mathematics 56 (2004) 3, pp. 511-528

Persistent link: https://www.econbiz.de/10005169280

A note on likelihood asymptotics in normal linear regression

Sartori, N. - In: Annals of the Institute of Statistical Mathematics 55 (2003) 1, pp. 187-195

Persistent link: https://www.econbiz.de/10005395525

Sequential Estimation of the Parameters in a Trigonometric Regression Model with the Gaussian Coloured Noise

Konev, V.; Pergamenshchikov, S. - In: Statistical Inference for Stochastic Processes 6 (2003) 3, pp. 215-235

Persistent link: https://www.econbiz.de/10005184586