Tests for the independence between two seemingly unrelated regression equations

DOI10.1214/aos/1176345403zbMath0467.62076OpenAlexW2038811836MaRDI QIDQ5904855

Takeaki Kariya

Publication date: 1981

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345403

zbMATH Keywords

locally best invariant testtesting independenceunbiased testone-sided alternativeseemingly unrelated regression equationstwo-sided alternative

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Exact distribution theory in statistics (62E15) Asymptotic properties of parametric tests (62F05)

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Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression ⋮ One-sided tests for independence of seemingly unrelated regression equations ⋮ Covariance matrix estimation in a seemingly unrelated regression model under Stein's loss ⋮ A generalization of Rao's covariance structure with applications to several linear models ⋮ Test for independence of two multivariate regression equations with different design matrices ⋮ Distribution theory for some tests of independence of seemingly unrelated regressions ⋮ Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions. ⋮ Score tests for zero covariances in recursive linear models for grouped or censored data

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