An invariant modification of the bilinear form test
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| _version_ | 1866917251093889024 |
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| author | Garate, Angelo Osorio, Felipe Crudu, Federico |
| author_facet | Garate, Angelo Osorio, Felipe Crudu, Federico |
| contents | The invariance properties of certain likelihood-based asymptotic tests as well as their extensions for M-estimation, estimating functions and the generalized method of moments have been well studied. The simulation study reported in Crudu and Osorio [Econ. Lett. 187: 108885, 2020] shows that the bilinear form test is not invariant to one-to-one transformations of the parameter space. This paper provides a set of suitable conditions to establish the invariance property under reparametrization of the bilinear form test for linear or nonlinear hypotheses that arise in extremum estimation which leads to a simple modification of the test statistic. Evidence from a Monte Carlo simulation experiment suggests good performance of the proposed methodology. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_05592 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | An invariant modification of the bilinear form test Garate, Angelo Osorio, Felipe Crudu, Federico Statistics Theory Econometrics 62F05, 62F30, 62P20 The invariance properties of certain likelihood-based asymptotic tests as well as their extensions for M-estimation, estimating functions and the generalized method of moments have been well studied. The simulation study reported in Crudu and Osorio [Econ. Lett. 187: 108885, 2020] shows that the bilinear form test is not invariant to one-to-one transformations of the parameter space. This paper provides a set of suitable conditions to establish the invariance property under reparametrization of the bilinear form test for linear or nonlinear hypotheses that arise in extremum estimation which leads to a simple modification of the test statistic. Evidence from a Monte Carlo simulation experiment suggests good performance of the proposed methodology. |
| title | An invariant modification of the bilinear form test |
| topic | Statistics Theory Econometrics 62F05, 62F30, 62P20 |
| url | https://arxiv.org/abs/2602.05592 |