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Corrections to Likelihood Ratio Tests of Hypotheses Concerning the Parameters of Markov Chains

✍ Scribed by Stephen A. Sharp

Book ID
124280137
Publisher
Oxford University Press
Year
1975
Tongue
English
Weight
426 KB
Volume
62
Category
Article
ISSN
0006-3444

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πŸ“œ SIMILAR VOLUMES

Erratum: The likelihood ratio test under
Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP
✍ Bruce E. Hansen πŸ“‚ Article πŸ“… 1996 πŸ› John Wiley and Sons 🌐 English βš– 143 KB πŸ‘ 2 views

There was an error in Hansen (1992). I am very grateful to James Hamilton for pointing out the error. Equations ( 2) and (3) in the original read where Q ( a ) is a mean zero Gaussian process with covariance function K(ai, a21 = E(q;(ai)~i(ad). While equation ( 2) is correct, (3) is not. Instead,

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In some cone-restricted testing problems, it is known that the power function of the likelihood ratio test has a certain monotonicity property with respect to the direction of the alternatives. In this paper, we establish a unified result concerning such directional monotonicity by using an argument