Giuseppe Cavaliere, Zeng-Hua Lu, Anders Rahbek, Yuhong Yang
arXiv 13 Jul 2021 · Econometrics
arXiv:2107.06089 · PDF · DOI · OpenAlex · Extracted main text
Score tests have the advantage of requiring estimation alone of the model restricted by the null hypothesis, which often is much simpler than models defined under the alternative hypothesis. This is typically so when the alternative hypothesis involves inequality constraints. However, existing score tests address only jointly testing all parameters of interest; a leading example is testing all ARCH parameters or variances of random coefficients being zero or not. In such testing problems rejection of the null hypothesis does not provide evidence on rejection of specific elements of parameter of interest. This paper proposes a class of one-sided score tests for testing a model parameter that is subject to inequality constraints. Proposed tests are constructed based on the minimum of a set of $p$-values. The minimand includes the $p$-values for testing individual elements of parameter of interest using individual scores. It may be extended to include a $p$-value of existing score tests. We show that our tests perform better than/or perform as good as existing score tests in terms of joint testing, and has furthermore the added benefit of allowing for simultaneously testing individual elements of parameter of interest. The added benefit is appealing in the sense that it can identify a model without estimating it. We illustrate our tests in linear regression models, ARCH and random coefficient models. A detailed simulation study is provided to examine the finite sample performance of the proposed tests and we find that our tests perform well as expected.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Demos, A., Sentana, E (1998) Testing for GARCH effects: a one-sided approach | 0.811 | 4 | 2 | 100% |
| 2 | Lee, J.H.H., King, M.L (1993) A locally most mean powerful based score test for arch and garch regression disturbances | 0.811 | 4 | 2 | 100% |
| 3 | Lu, Z.H (2016) Extended maxt tests of one-sided hypotheses self | 0.737 | 4 | 3 | 50% |
| 4 | Andrews, D.W.K (2001) Testing when a parameter is on the boundary of the maintained hypothesis | 0.511 | 2 | 1 | 100% |
| 5 | Marden, J.I (1982) Combining independent noncentral chi squared or $ f $ tests | 0.511 | 2 | 1 | 100% |
| 6 | Andrews, D.W.K (1996) Admissibility of the likelihood ratio test when the parameter space is restricted under the alternative | 0.405 | 1 | 1 | 100% |
| 7 | Aitchison, J., Silvey, S.D (1958) Maximum-likelihood estimation of parameters subject to restraints | 0.405 | 1 | 1 | 100% |
| 8 | Andrews, D.W.K., Moreira, M.J., Stock, J.H (2006) Optimal two-sided invariant similar tests for instrumental variables regression | 0.405 | 1 | 1 | 100% |
| 9 | Andrews, D.W.K., Ploberger, W (1995) Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative | 0.405 | 1 | 1 | 100% |
| 10 | Birnbaum, A (1955) Characterizations of complete classes of tests of some multiparametric hypotheses, with applications to likelihood ratio tests | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 34 scored citations.