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Type: cemmap Working Papers Authors: Le-Yu Chen and Jerzy Szroeter
JEL classification: C1; C4 Keywords: Test, Multiple inequalities, One-sided hypothesis, Composite null, Binding constraints, Asymptotic exactness, Covariance singularity, Indicator smoothing
This paper proposes a class of origin-smooth approximators of indicators underlying the sum-of-negative-part statistic for testing multiple inequalities. The need for simulation or bootstrap to obtain test critical values is thereby obviated. A simple procedure is enabled using fixed critical values. The test is shown to have correct asymptotic size in the uniform sense that supremum finite-sample rejection probability over null-restricted data distributions tends asymptotically to nominal significance level. This applies under weak assumptions allowing for estimator covariance singularity. The test is unbiased for a wide class of local alternatives. A new theorem establishes directions in which the test is locally most powerful. The proposed procedure is compared with predominant existing tests in structure, theory and simulation. This paper is a revised version of CWP13/09. Search |
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