The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Nov, 1994, Volume 62, Issue 6
https://doi.org/0012-9682(199411)62:6<1383:OTWANP>2.0.CO;2-7
p. 1383-1414
Donald W. K. Andrews, Werner Ploberger
This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to tests of one-time structural change with unknown change-point. Several other examples are discussed in the paper. The results of the paper are of interest, because the testing problem considered is nonstandard and the classical asymptotic optimality results for the Lagrange multiplier (LM), Wald, and likelihood ratio (LR) tests do not apply. A weighted average power criterion is used here to generate optimal tests. This criterion is similar to that used by Wald (1943) to obtain the classical asymptotic optimality properties of Wald tests in "regular" testing problems. In fact, the optimal tests introduced here reduce to the standard LM, Wald, and LR tests when standard regularity conditions hold. Nevertheless, in the nonstandard cases of main interest, new optimal tests are obtained and the LR test is not found to be an optimal test.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
