@techreport{Chen2012Testing,
abstract = {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.},
address = {London},
author = {Le-Yu Chen and Jerzy Szroeter},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
doi = {10.1920/wp.cem.2012.1612},
keywords = {C1; C4; 330; Test; Multiple inequalities; One-sided hypothesis; Composite null; Binding constraints; Asymptotic exactness; Covariance singularity; Indicator smoothing},
language = {eng},
number = {CWP16/12},
publisher = {Centre for Microdata Methods and Practice},
title = {Testing multiple inequality hypotheses: A smoothed indicator approach},
type = {cemmap working paper},
url = {http://hdl.handle.net/10419/64712},
year = {2012}
}
