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AA10715861-00000177-0001.pdf
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:Nov 24, 2023 |
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Title |
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Optimal testing in a class of nonregular models
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Shimizu, Yuya
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Department of Economics, University of Wisconsin, Madison
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大津, 泰介
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オオツ, タイスケ
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Otsu, Taisuke
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Department of Economics, London School of Economics; 慶應義塾大学産業研究所
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Keio Economic Observatory
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Keio Economic Observatory Sangyo Kenkyujo
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2023
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KEO discussion paper
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177
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2023
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10
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Abstract |
This paper studies optimal hypothesis testing for nonregular statistical models with parameter-dependent support. We consider both one-sided and two-sided hypothesis testing and develop asymptotically uniformly most powerful tests based on the likelihood ratio process. The proposed one-sided test involves randomization to achieve asymptotic size control, some tuning constant to avoid discontinuities in the limiting likelihood ratio process, and a user-specified alternative hypothetical value to achieve the asymptotic optimality. Our two-sided test becomes asymptotically uniformly most powerful without imposing further restrictions such as unbiasedness. Simulation results illustrate desirable power properties of the proposed tests.
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History |
Nov 24, 2023 | | インデックス を変更 |
Nov 24, 2023 | | Creator Name,Creator Kana,Creator Romanization,Creator Affiliation,Creator Affiliation (Translated),Creator Role,Creator Link を変更 |
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Index |
/ Public / Keio Economic Observatory(KEO) / KEO discussion paper / 101-102, 104-108, 110-119, 121-144, 147-149, 152, 155-156, 158-162, 164-168, 170, 173, 175, 177-179, 181 |
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