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On the asymptotic behaviour of the pseudolikelihood ratio test statistic with boundary problems
This paper considers the asymptotic distribution of the likelihood ratio statistic T for testing a subset of parameter of interest θ, θ = (γ, η), H(0) : γ = γ(0), based on the pseudolikelihood L(θ, ϕ̂), where ϕ̂ is a consistent estimator of ϕ, the nuisance parameter. We show that …