{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/20246"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/20246","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Hypothesis testing when a nuisance parameter is identified only under the alternative hypothesis","abstract":"When a nuisance parameter is unidentified under the null hypothesis, standard testing procedures cannot be applied due to the singularity of the information matrix. Probably best known examples are the problems of unknown change points and the mixtures of distributions in econometrics and statistics. Davies (1977, 1987) proposes a general solution to this type of problems.","abstract_html":"When a nuisance parameter is unidentified under the null hypothesis, standard testing procedures cannot be applied due to the singularity of the information matrix. Probably best known examples are the problems of unknown change points and the mixtures of distributions in econometrics and statistics. Davies (1977, 1987) proposes a general solution to this type of problems.","abstract_has_math":false,"creators":["Ra, Sungsup"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Economics","degree_department":null,"school":null,"contributors":["Bera, Anil K."],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2011,"date_issued":"2011-05-07T12:33:30Z","date_published":"2011-05-07T12:33:30Z","updated_at":"2026-07-22T22:25:15Z","subjects":["Economics, General","Economics, Theory"],"languages":["eng"],"rights":["Copyright 1993 Ra, Sungsup"],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["AAI9411756","(UMI)AAI9411756"],"render_values":[{"text":"AAI9411756","href":null,"code":true},{"text":"(UMI)AAI9411756","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/20246","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Bera, Anil K."]},{"key":"dc:creator","label":"Author","values":["Ra, Sungsup"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2011-05-07T12:33:30Z","1993"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics, General","Economics, Theory"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 1993 Ra, Sungsup"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["AAI9411756","(UMI)AAI9411756","http://hdl.handle.net/2142/20246"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["When a nuisance parameter is unidentified under the null hypothesis, standard testing procedures cannot be applied due to the singularity of the information matrix. Probably best known examples are the problems of unknown change points and the mixtures of distributions in econometrics and statistics. Davies (1977, 1987) proposes a general solution to this type of problems.","In this dissertation, we study three applications: tests for parameter constancy, white noise against the autoregressive moving average (ARMA(1,1)) alternative, and autoregressive conditional heteroskedasticity in mean (ARCH-M) model. Davies' procedure and the conventional Lagrange multiplier (LM) test are applied, and find that Davies' test outperforms the LM test. However, despite of its generality, Davies' approach has several deficiencies to be implemented for more general cases and it is quite expensive computationally.","For testing for parameter constancy, a joint LM test for autocorrelation and heteroskedasticity is suggested as a simple alternative test to Davies' procedure. For testing white noise against ARMA(1,1), we implement a more exact and simplified version of Davies approach. Monte Carlo results indicate that both the joint LM test and the simplified version of Davies have good finite sample power properties.","Made available in DSpace on 2011-05-07T12:33:30Z (GMT). No. of bitstreams: 2 license.txt: 4922 bytes, checksum: 910b249b4beec47e7ab768910c8f966f (MD5) 9411756.pdf: 2695761 bytes, checksum: 3fee8a054b78a89a1ce2bc00eaf906df (MD5) Previous issue date: 1993","Item marked as restricted to the 'UIUC Users [automated]' Group (id=2) by Howard Ding (hding2@illinois.edu) on 2011-05-07T14:42:36Z Item is restricted indefinitely.","Restriction data tranferred 2014-07-01T11:18:33-05:00 Original Data Group with Access UIUC Users [automated] Release Date: none Reason: ETDs are only available to UIUC Users without author permission","Open Restriction set for Item 20381 on 2021-03-25T16:41:40Z with date null by astein@illinois.edu.","Open Restriction set for Item 20381 on 2021-03-25T16:41:41Z with date null by astein@illinois.edu.","Access restrictions removed by request of the author.","Open"]},{"key":"dc:title","label":"Title","values":["Hypothesis testing when a nuisance parameter is identified only under the alternative hypothesis"]}]}],"canonical_facts":{"dc:contributor":["Bera, Anil K."],"dc:creator":["Ra, Sungsup"],"dc:date":["2011-05-07T12:33:30Z","1993"],"dc:description":["When a nuisance parameter is unidentified under the null hypothesis, standard testing procedures cannot be applied due to the singularity of the information matrix. Probably best known examples are the problems of unknown change points and the mixtures of distributions in econometrics and statistics. Davies (1977, 1987) proposes a general solution to this type of problems.","In this dissertation, we study three applications: tests for parameter constancy, white noise against the autoregressive moving average (ARMA(1,1)) alternative, and autoregressive conditional heteroskedasticity in mean (ARCH-M) model. Davies' procedure and the conventional Lagrange multiplier (LM) test are applied, and find that Davies' test outperforms the LM test. However, despite of its generality, Davies' approach has several deficiencies to be implemented for more general cases and it is quite expensive computationally.","For testing for parameter constancy, a joint LM test for autocorrelation and heteroskedasticity is suggested as a simple alternative test to Davies' procedure. For testing white noise against ARMA(1,1), we implement a more exact and simplified version of Davies approach. Monte Carlo results indicate that both the joint LM test and the simplified version of Davies have good finite sample power properties.","Made available in DSpace on 2011-05-07T12:33:30Z (GMT). No. of bitstreams: 2 license.txt: 4922 bytes, checksum: 910b249b4beec47e7ab768910c8f966f (MD5) 9411756.pdf: 2695761 bytes, checksum: 3fee8a054b78a89a1ce2bc00eaf906df (MD5) Previous issue date: 1993","Item marked as restricted to the 'UIUC Users [automated]' Group (id=2) by Howard Ding (hding2@illinois.edu) on 2011-05-07T14:42:36Z Item is restricted indefinitely.","Restriction data tranferred 2014-07-01T11:18:33-05:00 Original Data Group with Access UIUC Users [automated] Release Date: none Reason: ETDs are only available to UIUC Users without author permission","Open Restriction set for Item 20381 on 2021-03-25T16:41:40Z with date null by astein@illinois.edu.","Open Restriction set for Item 20381 on 2021-03-25T16:41:41Z with date null by astein@illinois.edu.","Access restrictions removed by request of the author.","Open"],"dc:identifier":["AAI9411756","(UMI)AAI9411756","http://hdl.handle.net/2142/20246"],"dc:language":["eng"],"dc:rights":["Copyright 1993 Ra, Sungsup"],"dc:subject":["Economics, General","Economics, Theory"],"dc:title":["Hypothesis testing when a nuisance parameter is identified only under the alternative hypothesis"],"dc:type":["text"],"thesis:degree_discipline":["Economics"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Ph.D."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:25:15Z"}