Likelihood ration test, Wald test and Kuhn-Tucker test in linear-models with inequality constraints on the regression parameters Likelihood Ratio Test, Wald Test and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
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Serval ID
serval:BIB_754F28631CAD
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Likelihood ration test, Wald test and Kuhn-Tucker test in linear-models with inequality constraints on the regression parameters Likelihood Ratio Test, Wald Test and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
Journal
Econometrica
ISSN
0012-9682
Publication state
Published
Issued date
1982
Peer-reviewed
Oui
Volume
50
Number
1
Pages
63-80
Language
english
Notes
Publication type : Article
Abstract
This paper considers the problem of testing statistical hypotheses in linear regression models with inequality constraints on the regression coefficients. The Kuhn-Tucker multiplier test statistic is defined and its relationships with the likelihood ratio test and the Wald test are examined. It is shown, in particular, that these relationships are the same as in the equality constrained case. It is emphasized, however, that their common asymptotic distribution is a mixture of chi-square distributions under the null hypothesis.
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16/11/2010 13:03
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20/08/2019 15:32