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Seminar of the “Special Guest Seminar Series” – Dante Amengual
June 17, 2022 @ 14:00 - 15:30
Welcome to the “Special Guest Seminar Series“!
The Seminar will be held on-site and online Friday 17th June 2022.
Our guest will be Dante Amengual from CEMFI in Madrid, Spain.
Title: Hypothesis tests with a repeatedly singular information matrix
Abstract: We study score-type tests in likelihood contexts in which the nullity of the information matrix under the null is larger than one, thereby
generalizing earlier results in the literature. Examples include multivariate skew-normal distributions, Hermite expansions of Gaussian copulas, purely non-linear predictive regressions, multiplicative seasonal time series models, and multivariate regression models with selectivity. Our proposal, which involves higher-order derivatives, is asymptotically equivalent to the likelihood ratio but only requires estimation under the null. We conduct extensive Monte Carlo exercises that study the finite sample size and power properties of our proposal and compare it to alternative approaches.