Econometrica: Jan 1982, Volume 50, Issue 1

Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters

https://doi.org/0012-9682(198201)50:1<63:LRTWTA>2.0.CO;2-Y
p. 63-80

Alain Monfort, Alberto Holly, Christian Gourieroux

This paper considers the problem of testing statistical hypotheses in linear regression models with inequality constraints on the regression coefficients. The Kuhn-Tucker multiplier test statistic is defined and its relationships with the likelihood ratio test and the Wald test are examined. It is shown, in particular, that these relationships are the same as in the equality constrained case. It is emphasized, however, that their common asymptotic distribution is a mixture of chi-square distributions under the null hypothesis.

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