Increasing power of robust test through pre-testing in multiple regression model

Yunus, Rossita M. and Khan, Shahjahan (2010) Increasing power of robust test through pre-testing in multiple regression model. Pakistan Journal of Statistics, 26 (1). pp. 151-170. ISSN 1012-9367

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Abstract

In this paper, we define (i) unrestricted (UT), (ii) restricted (RT) and (iii)pre-test (PTT) tests for testing the significance of a subset of the parameters of a multiple regression model when the remaining parameters are (i) completely unspecified, (ii) specified at fixed values or (iii) suspected at fixed values. The M-estimation methodology is used to formulate the three tests. The asymptotic distribution of the test statistics are used to derive the asymptotic power function of the tests. Analytical and graphical comparisons of the three tests are obtained by studying the power functions with respect to the size and power of the tests. The PTT shows a reasonable dominance over the other two tests asymptotically.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Published version deposited with blanket permission of publisher. Fulltext Reference: Yunus, R.M. and Khan, S. (2010). Increasing power of robust test through pre-testing in multiple regression model. Pakistan Journal of Statistics, Special Volume on 25th Anniversary, ed by S E Ahmed, Vol. 26, No.1. No indication of copyright restrictions.
Depositing User: Professor Shahjahan Khan
Faculty / Department / School: Historic - Faculty of Sciences - Department of Maths and Computing
Date Deposited: 29 Oct 2010 11:31
Last Modified: 02 Jul 2013 23:40
Uncontrolled Keywords: pre-test; asymptotic distribution; asymptotic power; M-estimation; contiguity; bivariate non-central chi-square
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
URI: http://eprints.usq.edu.au/id/eprint/6969

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