Wald, QLR, and score tests when parameters are subject to linear inequality constraints

This paper develops Wald-type, QLR, and score-type tests for linear equality constraints in a general class of extremum estimation problems where the parameter space is characterized by a finite number of linear equality and inequality constraints. We show that the asymptotic null distributions of t...

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Bibliographic Details
Published in:	Journal of econometrics Vol. 235; no. 2; pp. 2005 - 2026
Main Authors:	Fan, Yanqin, Shi, Xuetao
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.08.2023
Subjects:	algorithms Bonferroni-type correction class econometrics Extremum estimation Implicit nuisance parameter Mincer earnings regression Monte Carlo method Polytope projection Random coefficients model Uniform inference Implicit nuisance parameter C12 Uniform inference Polytope projection Mincer earnings regression Extremum estimation C18 Bonferroni-type correction Random coefficients model
ISSN:	0304-4076, 1872-6895
Online Access:	Get full text
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