Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62215
Authors: 
Tripathi, Gautam
Kitamura, Yuichi
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,88
Abstract: 
Let (x, z) be a pair of random vectors. We construct a new smoothed empirical likelihood based test for the hypothesis that E(z) a.s. = 0, and show that the test statistic is asymptotically normal under the null. An expression for the asymptotic power of this test under a sequence of local alternatives is also obtained. The test is shown to possess an optimality property in large samples. Simulation evidence suggests that it also behaves well in small samples.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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