Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jul, 1991, Volume 59, Issue 4

The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models

https://doi.org/0012-9682(199107)59:4<981:TLNOHT>2.0.CO;2-U
p. 981-995

Frank A. Wolak

This paper derives several properties unique to nonlinear model hypothesis testing problems involving linear or nonlinear inequality constraints in the null or alternative hypothesis. The paper is organized around a lemma which characterizes the set containing the least favorable parameter value for a nonlinear model inequality constraints hypothesis test. We then present two examples which illustrate several implications of this lemma. We also discuss the impact of these properties on the empirical implementation and interpretation of these test procedures.


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