M-tests for multivariate regression model

Rossita Yunus and Shahjahan Khan

Journal of Nonparametric Statistics, 2011, vol. 23, issue 1, 201-218

Abstract: The M-estimation method is used to define the unrestricted test, restricted test and pre-test test (PTT) for testing the intercept vector of a multivariate simple regression model when it is a priori suspected that the slope vector has some specified values. The asymptotic distribution of the test statistics and the asymptotic power functions of the proposed M-tests are derived. Performances of the M-tests are compared both analytically and graphically. The analytical results as well as an illustrative simulation study to compare the size and power of the M-tests reveal a reasonable dominance of the PTT over the other two tests.

Date: 2011
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DOI: 10.1080/10485252.2010.503896

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