Testing Hildreth-Houck Against Return to Normalcy Random Regression Coefficients

Robert D. Brooks and King Maxwell L.

No 267425, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In the context of the linear regression model, this paper considers testing for a single Hildreth-Houck random coefficient against the alternative that the coefficient follows the return to normalcy model. We attempt to construct a point-optimal invariant test but find that we have to resort to the class of approximate point-optimal invariant (APOI) tests introduced by King (1987). Empirical power calculations show that these tests have good small-sample properties compared to the likelihood ratio and Wald tests. A particular APOI test is recommended and is found to be remarkably robust to nonnormality.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 26
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/267425/files/monash-167.pdf (application/pdf)
https://ageconsearch.umn.edu/record/267425/files/monash-167.pdf?subformat=pdfa (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267425

DOI: 10.22004/ag.econ.267425

Access Statistics for this paper

More papers in Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().