Locally optimal testing when a nuisance parameter is present only under the alternative
Article Abstract:
An analysis describing hypothesis testing problems is presented. The analysis assumes that such problems consider nuisance parameters under the alternative hypothesis. The assumption prevents application of likelihood ratio, Lagrange multiplier and Wald tests because of difficulty in determining their asymptotic range. It is shown that reparametrization allows the application of such test problems by removing associated difficulty with its parameters.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1993
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Value event studies
Article Abstract:
Research was done to examine methodology for evaluating the impact of an event to the value of a firm. It is shown that cumulative abnormal returns do not reflect an event's effect on firm value when dividends are offered for the event window. In addition, pre-event measures are preferred even under cases of changing events. Finally, the control of variables other than market portfolio return increases estimation ability.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1992
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