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
Englisch

Bibliographic citation
Series: cemmap working paper ; No. CWP16/12

Classification
Wirtschaft
Subject
Test
Multiple inequalities
One-sided hypothesis
Composite null
Binding constraints
Asymptotic exactness
Covariance singularity
Indicator smoothing

Event
Geistige Schöpfung
(who)
Chen, Le-Yu
Szroeter, Jerzy
Event
Veröffentlichung
(who)
Centre for Microdata Methods and Practice (cemmap)
(where)
London
(when)
2012

DOI
doi:10.1920/wp.cem.2012.1612
Handle
Last update
10.03.2025, 11:45 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Chen, Le-Yu
  • Szroeter, Jerzy
  • Centre for Microdata Methods and Practice (cemmap)

Time of origin

  • 2012

Other Objects (12)