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Alternative Asymptotically Optimal Tests in Econometrics

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  • Richard Smith

Abstract

A method of generating asymptotically optimal test statistics using consistent estimators is presented and is useful when full maximum likelihood estimation is difficult under null and alternative hypotheses. Generalizing Neyman's (1959) work, statistics are derived for hypotheses of the constraint equation and parameter type and my be computed from simple GLS or OLS regressions. Testing strategies are given for an ordered sequence of hypotheses and for evaluating a null model against several alternatives. These methods are applied to dynamic equation systems and common factor restrictions in a single dynamic equation model.

Suggested Citation

  • Richard Smith, 1983. "Alternative Asymptotically Optimal Tests in Econometrics," Working Paper 544, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:544
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    Cited by:

    1. Kodde, D.A. & Palm, F.C., 1985. "Computing wald criteria for nested hypotheses," Serie Research Memoranda 0016, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

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