Testing the hypothesis of a doubly exchangeable covariance matrix for elliptically contoured distributions

Carlos Coelho and Anuradha Roy ()
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Anuradha Roy: UTSA

Working Papers from College of Business, University of Texas at San Antonio

Abstract: In this paper the authors study the problem of testing the hypothesis of a doubly exchangeable covariance matrix for three-level multivariate observations, taken on m variables over u sites and over v time/spatial points. Through the decomposition of the main hypothesis into a set of three sub-hypotheses, the likelihood ratio test statistic is dened, its exact moments determined, and its exact distribution studied. Because this distribution is very much intricate, a very precise near-exact distribution is developed. Numerical studies conducted to evaluate the closeness between this near-exact distribution and the exact distribution show the very good performance of this approximation even for very small sample sizes. A simulation study is also conducted and a real data example is presented..

JEL-codes: C12 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2014
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Citations: View citations in EconPapers (1)

Published in Review of Economics, March 1999, pages 1-23

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