Hypothesis Tests with a Repeatedly Singular Information Matrix
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- Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020. "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers 14415, C.E.P.R. Discussion Papers.
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- Dante Amengual & Xinyue Bei & Enrique Sentana, 2021. "Normal but Skewed?," Working Papers wp2021_2104, CEMFI.
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- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023. "Score-type tests for normal mixtures," CIRANO Working Papers 2023s-02, CIRANO.
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More about this item
Keywords
Generalized extremum tests; higher-order identifiability; likelihood ratio test; non-Gaussian copulas; predictive regressions; skew normal distributions.;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2021-03-29 (Operations Research)
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