(In Press) Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach

Sriananthakumar, S 2019, '(In Press) Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach', Econometric Reviews, vol. 38, no. 4, pp. 451-464.


Document type: Journal Article
Collection: Journal Articles

Title (In Press) Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach
Author(s) Sriananthakumar, S
Year 2019
Journal name Econometric Reviews
Volume number 38
Issue number 4
Start page 451
End page 464
Total pages 14
Publisher Taylor and Francis
Abstract King's Point Optimal (PO) test of a simple null hypothesis is useful in a number of ways, for example it can be used to trace the power envelope against which existing tests can be compared. However, this test cannot always be constructed when testing a composite null hypothesis. It is suggested in the literature that approximate PO (APO) tests can overcome this problem, but they also have some drawbacks. This paper investigates if King's PO test can be used for testing a composite null in the presence of nuisance parameters via a maximized Monte Carlo (MMC) approach, with encouraging results.
Subject Econometric and Statistical Methods
Keyword(s) Fundamental Neyman-Pearson lemma
generalized Neyman-Pearson lemma
maximized Monte Carlo method
non-nested testing
PO testing
DOI - identifier 10.1080/07474938.2017.1382781
Copyright notice © 2017 Taylor and Francis Group, LLC
ISSN 0747-4938
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