Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jan, 1982, Volume 50, Issue 1

Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters

https://doi.org/0012-9682(198201)50:1<63:LRTWTA>2.0.CO;2-Y
p. 63-80

Alain Monfort, Alberto Holly, Christian Gourieroux

This paper considers the problem of testing statistical hypotheses in linear regression models with inequality constraints on the regression coefficients. The Kuhn-Tucker multiplier test statistic is defined and its relationships with the likelihood ratio test and the Wald test are examined. It is shown, in particular, that these relationships are the same as in the equality constrained case. It is emphasized, however, that their common asymptotic distribution is a mixture of chi-square distributions under the null hypothesis.


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