Yunus, Rossita M. and Khan, Shahjahan (2011) M-tests for multivariate regression model. Journal of Nonparametric Statistics, 23 (1). pp. 201-218. ISSN 1048-5252
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Official URL: http://dx.doi.org/10.1080/10485252.2010.503896
Identification Number or DOI: doi: 10.1080/10485252.2010.503896
The M-estimation method is used to define the unrestricted test, restricted test and pre-test test (PTT) for testing the intercept vector of a multivariate simple regression model when it is a priori suspected that the slope vector has some specified values. The asymptotic distribution of the test statistics and the asymptotic power functions of the proposed M-tests are derived. Performances of the M-tests are compared both analytically and graphically. The analytical results as well as an illustrative simulation study to compare the size and power of the M-tests reveal a reasonable dominance of the PTT over the other two tests.
|Item Type:||Article (Commonwealth Reporting Category C)|
|Additional Information:||Permanent restricted access to published version due to publisher copyright policy.|
|Uncontrolled Keywords:||pre-test test; non-sample prior information; asymptotic distribution; asymptotic power; M-estimation; bivariate non-central chi-square distribution|
|Fields of Research (FOR2008):||01 Mathematical Sciences > 0104 Statistics > 010406 Stochastic Analysis and Modelling|
01 Mathematical Sciences > 0104 Statistics > 010405 Statistical Theory
01 Mathematical Sciences > 0102 Applied Mathematics > 010201 Approximation Theory and Asymptotic Methods
|Socio-Economic Objective (SEO2008):||E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences|
|Deposited On:||21 Jun 2011 16:54|
|Last Modified:||08 May 2012 10:14|
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