U-tests for variance components in linear mixed models

Juvêncio Nobre (), Julio Singer () and Pranab Sen ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2013, vol. 22, issue 4, 580-605

Abstract: We propose a U-statistics-based test for null variance components in linear mixed models and obtain its asymptotic distribution (for increasing number of units) under mild regularity conditions that include only the existence of the second moment for the random effects and of the fourth moment for the conditional errors. We employ contiguity arguments to derive the distribution of the test under local alternatives assuming additionally the existence of the fourth moment of the random effects. Our proposal is easy to implement and may be applied to a wide class of linear mixed models. We also consider a simulation study to evaluate the behaviour of the U-test in small and moderate samples and compare its performance with that of exact F-tests and of generalized likelihood ratio tests obtained under the assumption of normality. A practical example in which the normality assumption is not reasonable is included as illustration. Copyright Sociedad de Estadística e Investigación Operativa 2013

Keywords: Martingales; Nonstandard hypothesis; Contiguity; Linear mixed models; U-Statistics; Variance components; 62G86; 62G20; 662F03; 2F05 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11749-013-0316-8

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