Nearly optimal tests when a nuisance parameter is present under the null hypothesis

• Autores: Graham Elliott, Ulrich K. Müller, Mark W. Watson
• Localización: Econométrica: Journal of the Econometric Society, ISSN 0012-9682, Vol. 83, Nº 2, 2015, págs. 771-811
• Idioma: inglés
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• Resumen

  • This paper considers nonstandard hypothesis testing problems that involve a nuisance parameter. We establish an upper bound on the weighted average power of all valid tests, and develop a numerical algorithm that determines a feasible test with power close to the bound. The approach is illustrated in six applications: inference about a linear regression coefficient when the sign of a control coefficient is known; small sample inference about the difference in means from two independent Gaussian samples from populations with potentially different variances; inference about the break date in structural break models with moderate break magnitude; predictability tests when the regressor is highly persistent; inference about an interval identified parameter; and inference about a linear regression coefficient when the necessity of a control is in doubt.