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.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP16/12
- Klassifikation
-
Wirtschaft
- Thema
-
Test
Multiple inequalities
One-sided hypothesis
Composite null
Binding constraints
Asymptotic exactness
Covariance singularity
Indicator smoothing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chen, Le-Yu
Szroeter, Jerzy
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2012
- DOI
-
doi:10.1920/wp.cem.2012.1612
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Chen, Le-Yu
- Szroeter, Jerzy
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2012
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