A Fiducial-based Test for the Equality of Location Parameters

Gamze Güven, Özge Gürer, Hatice Samkar and Birdal Şenoğlu

Chapter 5 in Modeling and Advanced Techniques in Modern Economics, 2022, pp 105-126 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Motivated by Fisher’s fiducial inference, a new test is proposed for testing the equality of location parameters of Weibull populations when the scale parameters are unequal. It is defined based on the sum of the squared differences between the estimates of location parameters and weighted mean of the estimates of location parameters. In estimating the model parameters, modified maximum likelihood (MML) methodology proposed by Tiku is used. Resulting estimators are asymptotically equivalent to the maximum likelihood (ML) estimators; therefore, they have all the asymptotic properties of the ML estimators, such as unbiasedness, efficiency and consistency. The proposed test is constructed using MML estimators and a pivotal quantity. A comprehensive Monte Carlo simulation study is conducted to compare this test with the corresponding test based on the well-known least squares (LS) estimators with respect to the power criterion. Simulation results show that the proposed test outperforms the LS-based test in terms of the power criterion.

Keywords: Harmonic Regression; Periodograms; Consumer Price Index; Food Inflation; Turkey; Gaussian Distribution; Europe Union; GDP; Panel Data; Spatial Regression; Measurement Errors; Nonlinear Time Series; Chaotic Time Series; Weibull Distribution; Location Parameters; Fiducial Approach; Hypothesis Testing; Green Swan; Financial Stability; Annex II Countries; Financial Time Series; Kernels; Stock Index; Machine Learning; Statistical Learning; Optimization; WSAR Algorithm; Deep Neural Networks; Phyton; Parameter Estimation; COVID-19; Clustering Analyses; Artificial Neural Networks; Performance Criteria; Time Series Forecasting; Statistical Inference (search for similar items in EconPapers)
JEL-codes: C1 C4 C5 C6 C63 (search for similar items in EconPapers)
Date: 2022
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