arXiv 25 Mar 2024 · Mathematics — Statistics Theory
arXiv:2403.16413 · PDF · DOI · OpenAlex · Extracted main text
This paper studies optimal hypothesis testing for nonregular econometric models with parameter-dependent support. We consider both one-sided and two-sided hypothesis testing and develop asymptotically uniformly most powerful tests based on a limit experiment. Our two-sided test becomes asymptotically uniformly most powerful without imposing further restrictions such as unbiasedness, and can be inverted to construct a confidence set for the nonregular parameter. Simulation results illustrate desirable finite sample properties of the proposed tests.
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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 | Hirano, K. and Porter, J. R (2003) Asymptotic efficiency in parametric structural models with parameter-dependent support | 0.961 | 9 | 4 | 89% |
| 2 | Lehmann, E. L. and Romano, J. P (2022) Testing statistical hypotheses, volume 4 | 0.928 | 5 | 3 | 80% |
| 3 | Chernozhukov, V. and Hong, H (2004) Likelihood estimation and inference in a class of nonregular econometric models | 0.874 | 7 | 2 | 100% |
| 4 | Chen, X., Christensen, T. M., and Tamer, E (2018) Monte carlo confidence sets for identified sets | 0.511 | 2 | 1 | 100% |
| 5 | Shao, J (2003) Mathematical statistics | 0.511 | 2 | 1 | 100% |
| 6 | Chen, X., Gentry, M., Li, T., and Lu, J (2025) Identification and inference<? pag$$break?> in first-price auctions with risk-averse bidders and selective entry | 0.405 | 1 | 1 | 100% |
| 7 | Choi, S., Hall, W. J., and Schick, A (1996) Asymptotically uniformly most powerful tests in parametric and semiparametric models | 0.405 | 1 | 1 | 100% |
| 8 | Christensen, B. J. and Kiefer, N. M (1991) The exact likelihood function for an empirical job search model | 0.405 | 1 | 1 | 100% |
| 9 | Donald, S. and Paarsch, H (1993) Maximum likelihood estimation when the support of the distribution depends upon some or all of the unknown parameters | 0.405 | 1 | 1 | 100% |
| 10 | Donald, S. G. and Paarsch, H. J (2002) Superconsistent estimation and inference in structural econometric models using extreme order statistics | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 14 scored citations.