Arbeitspapier
Testing multiple inequality hypotheses: A smoothed indicator approach
This paper proposes a class of origin-smooth approximators of indicators underlying the sum-of-negative-part statistic for testing multiple inequalities. The need for simulation or bootstrap to obtain test critical values is thereby obviated. A simple procedure is enabled using fixed critical values. The test is shown to have correct asymptotic size in the uniform sense that supremum finite-sample rejection probability over null-restricted data distributions tends asymptotically to nominal signficance level. This applies under weak assumptions allowing for estimator covariance singularity. The test is unbiased for a wide class of local alternatives. A new theorem establishes directions in which the test is locally most powerful. The proposed procedure is compared with predominant existing tests in structure, theory and simulation.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP16/12
- Classification
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Wirtschaft
- Subject
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Test
Multiple inequalities
One-sided hypothesis
Composite null
Binding constraints
Asymptotic exactness
Covariance singularity
Indicator smoothing
- Event
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Geistige Schöpfung
- (who)
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Chen, Le-Yu
Szroeter, Jerzy
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2012
- DOI
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doi:10.1920/wp.cem.2012.1612
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chen, Le-Yu
- Szroeter, Jerzy
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2012