Chi-square Tests when a Nuisance Parameter is Present only under the Alternative.

Testing frequently involves nuisance parameters wich are identified only under the alternative. This article proposes a class of test statistics wich asymptotic distributions are standard, namely chi-squares. We estimate the parameter vector using the generalized method of moments applied to this continuum of moment conditions.

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Year of publication:	2000
Authors:	Carrasco, M.
Subject:	TESTS \| DISTRIBUTION \| EXPECTATIONS

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Type of publication:	Book / Working Paper
Notes:	42 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641104