A complete class of tests when the likelihood is locally asymptotically quadratic

Werner Ploberger

doi:10.1016/S0304-4076(03)00135-0

A complete class of tests when the likelihood is locally asymptotically quadratic

Werner Ploberger

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

The construction of an asymptotically quadratic class of tests for testing one parametric restriction was studied. The parametric restriction involved approximation of likelihood function by the proposed locally asymptotic quadratic function. The application of random variables in the quadratic form solved the problem of unit-root testing. The results show that the likelihood ratio (LR) test was not within the proposed class.

Original language	English
Pages (from-to)	67-94
Number of pages	28
Journal	Journal of Econometrics
Volume	118
Issue number	1-2
DOIs	https://doi.org/10.1016/S0304-4076(03)00135-0
State	Published - Jan 2004

Keywords

Asymptotic theory
Complete class theorems
Dickey-Fuller test
Likelihood ratio test
Optimal tests

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10.1016/S0304-4076(03)00135-0

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title = "A complete class of tests when the likelihood is locally asymptotically quadratic",

abstract = "The construction of an asymptotically quadratic class of tests for testing one parametric restriction was studied. The parametric restriction involved approximation of likelihood function by the proposed locally asymptotic quadratic function. The application of random variables in the quadratic form solved the problem of unit-root testing. The results show that the likelihood ratio (LR) test was not within the proposed class.",

keywords = "Asymptotic theory, Complete class theorems, Dickey-Fuller test, Likelihood ratio test, Optimal tests",

author = "Werner Ploberger",

year = "2004",

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AB - The construction of an asymptotically quadratic class of tests for testing one parametric restriction was studied. The parametric restriction involved approximation of likelihood function by the proposed locally asymptotic quadratic function. The application of random variables in the quadratic form solved the problem of unit-root testing. The results show that the likelihood ratio (LR) test was not within the proposed class.

KW - Asymptotic theory

KW - Complete class theorems

KW - Dickey-Fuller test

KW - Likelihood ratio test

KW - Optimal tests

UR - https://www.scopus.com/pages/publications/0346724427

U2 - 10.1016/S0304-4076(03)00135-0

DO - 10.1016/S0304-4076(03)00135-0

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AN - SCOPUS:0346724427

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SP - 67

EP - 94

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1-2

ER -

A complete class of tests when the likelihood is locally asymptotically quadratic

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Keywords

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