Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis

@article{Hansen1996InferenceWA,
  title={Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis},
  author={Bruce E. Hansen},
  journal={Econometrica},
  year={1996},
  volume={64},
  pages={413-430}
}
  • B. Hansen
  • Published 1 March 1996
  • Mathematics, Economics
  • Econometrica
Many econometric testing problems involve nuisance parameters which are not identified under the null hypotheses. This paper studies the asymptotic distribution theory for such tests. The asymptotic distributions of standard test statistics are described as functionals of chi-square processes. In general, the distributions depend upon a large number of unknown parameters. We show that a transformation based upon a conditional probability measure yields an asymptotic distribution free of… 
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35 References

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