Testing of hypothesis of a block compound symmetric covariance matrix

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 block compound symmetry covariance matrix with two-level multivariate observations, taken for m variables over u sites or time points. Through the decomposition of the main hypothesis into two sub-hypotheses, the likelihood ratio test statistic is easily obtained as well as its exact moments. Its exact distribution is then analyzed. Because this distribution is quite elaborate, yielding a non-manageable distribution function, a manageable but 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 real data example is studied and a simulation is also conducted.

Keywords: characteristic function; composition of hypothesis; distribution of likelihood ratio statistics; near-exact distributions; product of independent Beta random variables; sum of independent Gamma random variables. (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2013-07-03
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Citations: View citations in EconPapers (2)

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

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Persistent link: https://EconPapers.repec.org/RePEc:tsa:wpaper:0179mss

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