Testing When a Parameter Is on the Boundary of the Maintained Hypothesis

By Donald W. K. Andrews. 2001

149 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5aaa38a1229259bd98c9c7555da8854121e3864b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

In Statistics and Probability

Citations in the corpus

Copula Methods for Forecasting Multivariate Time Series (2013, result): “"̂it Yit i (Zt 1; ̂) i (Zt 1; ̂) , i = 1; 2 (7)”
Bonferroni-Based Size-Correction for Nonstandard Testing Problems (2017, unknown): “For example, Andrews (1999, 2001) provides results for more complicated boundary examples that fit this framework.”
Beyond Correlation: Extreme Co-movements Between Financial Assets (2002, unknown): “where CG is the Normal-copula given in (2).”
Backtesting Value-at-Risk: A Duration-Based Approach (2003, unknown): “See Andrews (2001) for details.”
Dynamic treatment regimes: technical challenges and applications (2014, methodology): “This partitioning is based on a “pretest” (see Olshen, 1973; Andrews, 2001b; Andrews and Soares, 2007; Cheng, 2008; Andrews and Guggenberger, 2009).”
GARCH Models (2010, unknown): “Papers dealing more specifically with ARCH and GARCH models are Lee and King (1993), Hong (1997), Demos and Sentana (1998), Andrews (2001), Hong and Lee (2001), Dufour et al. (2004) and Francq and Zakoı̈an (2009b).”
Dependence structure and extreme comovements in international equity and bond markets (2011, unknown): “In Longin and Solnik (2001) and Ang and Chen (2002) exceedance correlations are symmetric if Ex_corr(Y,X;θ )= Ex_corr (Y,X;θ) and in our formulation it is the case ifEx_corr(Y,X;α )= Ex_corr(Y,X;1− α);α ∈ (0, 1 ) 3 Extreme Value Theory (EVT) is used to characterize the distribution of variable condi”
Testing for Threshold Effects in Regression Models (2010, methodology): “However, it is worth noting that when quadratic approximations are available, Andrews (2001) covers a more general case such as one where parameter vectors may lie on the boundary of the parameter space under the null hypothesis.”
Inference on Directionally Differentiable Functions (2014, background): “Ourﬁrstexample, due to Andrews (2001 , is mainly expository in nature.”
Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models (2007, unknown): “Such a situation is not uncommon in econometrics – consider, for example, a test of the null of no conditional heteroskedasticity in a GARCH(1,1) model – and is exactly the situation considered by Andrews (2001).”
ESTIMATION AND INFERENCE WITH WEAK, SEMI-STRONG, AND STRONG IDENTIFICATION (2010, unknown): “…and Tsay (1998)), seasonal ARMA(1 1) models (e.g., see Andrews, Liu, and Ploberger (1998)), models with correlated random coefficients (e.g., see Andrews (2001)), (generalized autoregressive conditional heteroskedasticity) GARCH(p q) models, and time series models with nonlinear deterministic…”
Likelihood ratio tests in linear mixed models with one variance component (2003, result): “Our results are also different from the results in Andrews (2001), derived for the random-coefficients model.”
Optimal inference in a class of regression models (2015, unknown): “Since directing power at such alternatives is often the goal of model or variable selection, unless one imposes non-convex or asymmetric restrictions on the parameter space, the scope for model or variable selection, such as using CIs considered in Andrews and Guggenberger (2009a) and McCloskey (201”
US city size distribution: Robustly Pareto, but only in the tail (2013, background): “Note that likelihood ratio tests and some other standard statistical specification tests cannot be easily applied here because the lognormal special case is nested but only as a limiting case [Andrews (2001)].”