Inference when a Nuisance Parameter is not Identified under the Null Hypothesis-英文文献.pdf

Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis Author(s): Bruce E. Hansen Source: Econometrica, Vol. 64, No. 2 (Mar., 1996), pp. 413-430 Published by: The Econometric Society Stable URL: /stable/2171789 Accessed: 25/02/2009 12:33 Your use of the JSTOR archive indicates your acceptance of JSTORs Terms and Conditions of Use, available at /page/info/about/policies/terms.jsp. JSTORs Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at /action/showPublisher?publisherCode=econosoc. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is a not-for-profit organization founded in 1995 to build trusted digital archives for scholarship. We work with the scholarly community to preserve their work and the materials they rely upon, and to build a common research platform that promotes the discovery and use of these resources. For more information about JSTOR, please contact support@. The Econometric Society is collaborating with JSTOR to digitize, preserve and extend access to Econometrica. Econometnica,Vol. 64, No. 2 (March, 1996), 413-430 INFERENCE WHEN A NUISANCE PARAMETER IS NOT IDENTIFIED UNDER THE NULL HYPOTHESIS BY BRUCE E. HANSEN1 Many econometric testing problems involve nuisance parameters which are not identi- fied under the null hypotheses. This paper studies the asymptotic distribution theory for