CFDP 1015
Optimal Tests When a Nuisance Parameter is Present Only under the Alternative
Author(s):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