Joint one-sided tests of linear regression coefficients
type: Item
instance of: scholarly article
title: Joint one-sided tests of linear regression coefficients
zbMATH Open document ID: 0619.62108
DOI: 10.1016/0304-4076(86)90020-5
author: Maxwell L. King
author: Murray D. Smith
published in: Journal of Econometrics
publication date: 1986-01-01T00:00:00Z
review text: The main example of the class of problems considered below is that of testing whether a subset of regression coefficients are jointly zero assuming knowledge of the coefficients' signs. If this knowledge is ignored, the likelihood ratio, Wald, and Lagrange multiplier tests are each equivalent to the F-test. We propose a new test which can be applied as a one-sided t-test and which is UMPI in a subspace of the parameter space. Empirical power comparisons with the power envelope, the F-test, and the exact one-sided likelihood ratio test show that the new test can have exceptionally good power over a wide range of the parameter space.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62F03
zbMATH DE Number: 4005420
zbMATH Keywords: new test
zbMATH Keywords: one-sided t-test
zbMATH Keywords: UMPI
zbMATH Keywords: Empirical power comparisons
zbMATH Keywords: power envelope
zbMATH Keywords: F-test
zbMATH Keywords: exact one-sided likelihood ratio test
MaRDI profile type: Publication
full work available at URL: 0304-4076(86)90020-5
OpenAlex ID: W1967819287
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description: scientific article; zbMATH DE number 4005420