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This is a very interesting paper reviewing the technique for testing semiparametric hypotheses using GLR tests. I’d like to supplement Fan and Jiang’s review with some cautions and a somewhat different point of view.
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This comment refers to the invited paper available at: http://dx.doi.org/10.1007/s11749-007-0080-8.
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Bickel, P.J. Comments on: Nonparametric inference with generalized likelihood ratio tests. TEST 16, 445–447 (2007). https://doi.org/10.1007/s11749-007-0081-7
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DOI: https://doi.org/10.1007/s11749-007-0081-7