Locally Regular and Efficient Tests in Non-Regular Semiparametric Models

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Auteur
Date

9 mars 2024

Discipline
Type de document
Périmètre
Identifiant
  • 2403.05999
Source

arXiv - économie

Collection

arXiv

Organisation

Cornell University

Mots-clés Und

Economics - Econometrics Mathematics - Statistics Theory

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Competitive examinations Tests

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Adam Lee, « Locally Regular and Efficient Tests in Non-Regular Semiparametric Models », arXiv - économie

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This paper considers hypothesis testing in semiparametric models which may be non-regular. I show that C($\alpha$) style tests are locally regular under mild conditions, including in cases where locally regular estimators do not exist, such as models which are (semi-parametrically) weakly identified. I characterise the appropriate limit experiment in which to study local (asymptotic) optimality of tests in the non-regular case, permitting the generalisation of classical power bounds to this case. I give conditions under which these power bounds are attained by the proposed C($\alpha$) style tests. The application of the theory to a single index model and an instrumental variables model is worked out in detail.

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