2024/03/25 by Yuya Shimizu, Shimizu, Yuya, Taisuke Otsu +1
Mathematics · Engineering · #Advanced Statistical Methods and Models #Control Systems and Identification #Fault Detection and Control Systems
paper · pdf · doi:10.48550/arxiv.2403.16413
This paper studies optimal hypothesis testing for nonregular econometric models with parameter-dependent support. We consider both one-sided and two-sided hypothesis testing and develop asymptotically uniformly most powerful tests based on a limit experiment. Our two-sided test becomes asymptotically uniformly most powerful without imposing further restrictions such as unbiasedness, and can be inverted to construct a confidence set for the nonregular parameter. Simulation results illustrate desirable finite sample properties of the proposed tests.