CFDP 1015

Optimal Tests When a Nuisance Parameter is Present Only under the Alternative

Author(s): 
Donald W. K. AndrewsWerner Ploberger

Publication Date: April 1992

Pages: 62

Abstract: 

This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. The results of the paper are of interest, because the testing problem considered in non-standard and the classical asymptotic optimality results for the Wald, Lagrange multiplier (LM), and likelihood ratio (LR) tests do not apply. In the non-standard cases of main interest, new optimal tests are obtained and the LR test is not found to be an optimal test.

Keywords: 

Asymptotics, changepoint, nonstandard testing problem

JEL Classification Codes: C12

See CFP: 879