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http://hdl.handle.net/10419/64712
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| Title: | | Testing multiple inequality hypotheses: A smoothed indicator approach  |
| Authors: | | Chen, Le-Yu Szroeter, Jerzy |
| Issue Date: | | 2012 |
| Series/Report no.: | | cemmap working paper CWP16/12 |
| 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. |
| Subjects: | | Test Multiple inequalities One-sided hypothesis Composite null Binding constraints Asymptotic exactness Covariance singularity Indicator smoothing |
| JEL: | | C1 C4 |
| Persistent Identifier of the first edition: | | doi:10.1920/wp.cem.2012.1612 |
| Document Type: | | Working Paper |
| Appears in Collections: | | cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)
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