Publication in Econometrica

2019.03.05 | Solveig Nygaard Sørensen

Anders Bredahl Kock's and David Preinerstorfer​'s paper "Power in high-dimensional testing problems" has been accepted for publication in Econometrica.  

The paper shows that for testing problems in which the dimension of the parameter space diverges sufficiently slowly to infinity, no optimal test exists in the sense that for every test of asymptotic size strictly less than one there exists another test that i) has the same asymptotic size, ii) has uniformly non-inferior power and iii) is consistent against strictly more alternatives than the initially given test. Thus, every test has removable blind spots of inconsistency. Sufficient conditions are provided under which the above finding remains valid irrespective of the rate at which the dimension of the parameter space increases to infinity. 

Congratulations, Anders and David!

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