On Point-Optimal Cox Tests

Noxy Dastoor and Gordon Fisher

Econometric Theory, 1988, vol. 4, issue 1, 97-107

Abstract: This paper is concerned with the general problem of testing one form of covariance structure against another in a normal linear regression. It is shown that all the point-optimal tests recently proposed by King and his associates can be interpreted as special cases of a Cox test for non-nested hypotheses. This provides a synthesis of a whole range of point-optimal tests as well as demonstrating that King and his associates have exposed a class of Cox tests which have an exact distribution.

Date: 1988
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Working Paper: On Point-Optimal Cox Tests (1987)
Working Paper: On Point-Optimal Cox Tests (1987)
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