On the Robustness of LM, LR, and W Tests in Regression Models

DOI10.2307/1911199zbMath0564.62025OpenAlexW1963922986MaRDI QIDQ3678473

Aman Ullah, Victoria Zinde-Walsh

Publication date: 1984

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911199

zbMATH Keywords

likelihood ratio testWald testsLagrange multiplier testrobustness of testssmall sample casemultivariate Student t

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (21)

Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion ⋮ Estimation of parameters of parallelism model with elliptically distributed errors ⋮ Conditional and unconditional statistical independence ⋮ Bayes prediction in regressions with elliptical errors ⋮ Estimation and testing in a regression model with spherically symmetric errors ⋮ Estimation of error variance in linear regression models with errors having multivariate Student-\(t\) distribution with unknown degrees of freedom ⋮ On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances ⋮ On risk comparisons of some estimators in a linear regression model under inagaki’S loss function and nonnormal error terms ⋮ Stein type confidence interval of the disturbance variance in a linear regression model with multivariate student-t distributed errors ⋮ Estimation of Slope for Linear Regression Model with Uncertain Prior Information and Student-tError ⋮ Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances ⋮ Performance analysis of the preliminary test estimator with series of stochastic restrictions ⋮ MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms ⋮ Preliminary test Liu estimators based on the conflicting W, LR and LM tests in a regression model with multivariate Student-\(t\) error ⋮ Performance of the shrinkage preliminary test ridge regression estimators based on the conflicting of W, LR and LM tests ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ Improved variance estimation under sub-space restriction ⋮ Shrinkage Estimation Under Multivariate Elliptic Models ⋮ Elliptical structural models ⋮ Testing inequality constraints in a linear regression model with spherically symmetric disturbances ⋮ Power analysis for linear models with spherical errors

This page was built for publication: On the Robustness of LM, LR, and W Tests in Regression Models