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Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values
Nuisance Parameters Post-Model-Selection Random Critical Values
2012/11/22
We point out that the ideas underlying some test procedures recently proposed for testing post-model-selection (and for some other test problems) in the econometrics literature have been around for qu...
A Paradoxical Effect of Nuisance Parameters on Efficiency of Estimators
asymptotic variance estimating function nuisance parameter optimality orthogonal decomposition semiparametric model
2009/3/9
This paper is concerned with parameter estimation in the presence of nuisance parameters. Usually, an estimator with known nuisance parameters is better than that with unknown nuisance parameters in r...