• Corpus ID: 226246464

Testing (Infinitely) Many Zero Restrictions

@article{Hill2020TestingM,
  title={Testing (Infinitely) Many Zero Restrictions},
  author={Jonathan B. Hill},
  journal={arXiv: Statistics Theory},
  year={2020}
}
We present a max-test statistic for testing (possibly infinitely) many zero parameter restrictions in a general parametric regression framework. The test statistic is based on estimating the key parameters one at a time in many models of possibly vastly smaller dimension than the original model, and choosing the largest in absolute value from these individually estimated parameters. Under mild conditions the parsimonious models identify whether the original parameter of interest is or is not… 

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