Now showing items 1-4 of 4

    • Asymptotic power of sphericity tests for high-dimensional data 

      Onatski, Alexei; Moreira, Marcelo J.; Hallin, Marc
      2013-06
      This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as both the dimensionality of the data and the number of observations go to infinity. We establish the ...
    • A conditional likelihood ratio test for structural models 

      Moreira, Marcelo J.
      2002-05-29
      This paper develops a general method for constructing similar tests based on the conditional distribution of nonpivotal statistics in a simultaneous equations model with normal errors and known reducedform covariance matrix. ...
    • Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments 

      Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H.
      2008
      As Nelson and Startz [Nelson, C.R., Startz, R., 1990a. The distribution of the instrumental variable estimator and its t ratio when the instrument is a poor one. Journal of Business 63, S125-S140; Nelson, C.R., Startz, R., ...
    • Signal detection in high dimension: the multispiked case 

      Onatski, Alexei; Moreira, Marcelo J.; Hallin, Marc
      2014-02
      This paper applies Le Cam's asymptotic theory of statistical experiments to the signal detection problem in high dimension. We consider the problem of testing the null hypothesis of sphericity of a high-dimensional covariance ...