Journal ArticleDOI
Likelihood ration test, Wald test and Kuhn-Tucker test in linear-models with inequality constraints on the regression parameters Likelihood Ratio Test, Wald Test and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
TLDR
In this paper, the Kuhn-Tucker multiplier test statistic is defined and its relationships with the likelihood ratio test and the Wald test are examined, and it is shown that these relationships are the same as in the equality constrained case.Abstract:
This paper considers the problem of testing statistical hypotheses in linear regression models with inequality constraints on the regression coefficients. The Kuhn-Tucker multiplier test statistic is defined and its relationships with the likelihood ratio test and the Wald test are examined. It is shown, in particular, that these relationships are the same as in the equality constrained case. It is emphasized, however, that their common asymptotic distribution is a mixture of chi-square distributions under the null hypothesis.read more
Citations
More filters
Journal ArticleDOI
Wald criteria for jointly testing equality and inequality restrictions
D.A. Kodde,Franz Palm +1 more
TL;DR: On montre comment le test de Wald s'applique a des ensembles de restrictions d'egalite et d'inegalite and on presente la distribution, pour de grands echantillons, du test sous l'hypothese nulle as mentioned in this paper.
Journal ArticleDOI
A Test for Superior Predictive Ability
TL;DR: In this article, a new test for superior predictive ability is proposed, which is more powerful and less sensitive to poor and irrelevant alternatives than the Reality Check (RC) for data snooping.
Posted Content
Flexible Functional Forms and Global Curvature Conditions
W. Erwin Diewert,Terence Wales +1 more
TL;DR: In this article, the authors developed two methods for imposing curvature conditions globally in the context of cost function estimation, based on a generalization of a functional form first proposed by McFadden.
Journal ArticleDOI
Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP
TL;DR: In this article, a theory of testing under non-standard conditions is developed to bound the asymptotic distribution of standardized likelihood ratio statistics, even when conventonal regularity conditions (such as unidentified nuisance parameters and identically zero scores) are violated.
ReportDOI
Flexible Functional Forms and Global Curvature Conditions
W. Erwin Diewert,Terence Wales +1 more
TL;DR: In this paper, the authors developed two methods for imposing curvature conditions globally in the context of cost function estimation, based on a generalization of a functional form first proposed by McFadden.
References
More filters
Journal ArticleDOI
The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
Trevor Breusch,Adrian Pagan +1 more
TL;DR: The Lagrange multiplier (LM) statistic as mentioned in this paper is based on the maximum likelihood ratio (LR) procedure and is used to test the effect on the first order conditions for a maximum of the likelihood of imposing the hypothesis.
Journal ArticleDOI
Tests of statistical hypotheses concerning several parameters when the number of observations is large
Journal ArticleDOI
Statistical inference under order restrictions : the theory and application of isotonic regression
TL;DR: Isotonic regression under order restrictions has been used to test the equality of ordered means for goodness of fit as discussed by the authors, in the normal case and in the special case of a sigma-lattice.
Journal ArticleDOI
Large sample tests of statistical hypotheses concerning several parameters with applications to problems of estimation
TL;DR: In this paper, the authors test simple or composite hypotheses for a set of stochastic variates with respect to a large number of observations from any probability distribution satisfying some mild restrictions and their use in problems of estimation.
Journal ArticleDOI
Maximum-Likelihood Estimation of Parameters Subject to Restraints
J. Aitchison,S. D. Silvey +1 more
TL;DR: In this paper, the estimation of a parameter lying in a subset of a set of possible parameters is considered, and the estimator considered lies in the subset and is a solution of likelihood equations containing a Lagrangian multiplier.