Wald, QLR, and score tests when parameters are subject to linear inequality constraints

• Published in: Journal of econometrics Vol. 235; no. 2; pp. 2005 - 2026
• Main Authors: Fan, Yanqin, Shi, Xuetao
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.08.2023
• Subjects: algorithms; Bonferroni-type correction; class; econometrics; Extremum estimation; Implicit nuisance parameter; Mincer earnings regression; Monte Carlo method; Polytope projection; Random coefficients model; Uniform inference; Implicit nuisance parameter; C12; Uniform inference; Polytope projection; Mincer earnings regression; Extremum estimation; C18; Bonferroni-type correction; Random coefficients model

This paper develops Wald-type, QLR, and score-type tests for linear equality constraints in a general class of extremum estimation problems where the parameter space is characterized by a finite number of linear equality and inequality constraints. We show that the asymptotic null distributions of t...