A new test for linear inequality constraints when the variance–covariance matrix depends on the unknown parameters |
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| Authors: | Stephen G Donald Yu-Chin Hsu |
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| Institution: | aDepartment of Economics, University of Texas at Austin, USA;bDepartment of Economics, University of Missouri at Columbia, USA |
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| Abstract: | We extend Hansen’s (2005) test to testing hypotheses involving general inequality constraints where the variance–covariance matrix of the functions in the constraints depends on the unknown parameters. The test can be applied to a wider class of problems than Wolak’s (1991). |
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| Keywords: | JEL classification: C01 C12 |
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