Now showing items 1-4 of 4

    • Asymptotic power of sphericity tests for high-dimensional data 

      Onatski, Alexei; Moreira, Marcelo J.; Hallin, Marc
      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.
      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.
      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
      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 ...