TESTING NONNESTED LINEAR HYPOTHESES II: SOME INVARIANT EXACT TESTS

J. Bouman

No 272352, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: In this paper we derive a number of invariant tests for the problem of testing linear hypotheses. The power functions of these tests are studied and it turns out to depend on die value of r = rank(XlZ) (where X and Z are the given regressor matrices) whether the tests have level a, are unbiased and possess certain other desirable properties. The required computations in order to use the tests in practice are given. We also derive large sample approximations to the critical values and the p-values of the tests.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 189
Date: 1986
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Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272352

DOI: 10.22004/ag.econ.272352

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