One-sided tests for independence of seemingly unrelated regression equations

Hiroshi Kurata

Journal of Multivariate Analysis, 2004, vol. 90, issue 2, 393-406

Abstract: In a seemingly unrelated regression model with p([greater-or-equal, slanted]2) equations, this paper considers the problem of testing independence of equations against a one-sided alternative hypothesis. The power functions of invariant tests are evaluated and the locally most mean powerful invariant test is obtained.

Keywords: Invariance; One-sided; hypothesis; Locally; most; mean; powerful; test; Seemingly; unrelated; regression; model; Independence (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (4)

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