Robustness to nonnormality of regression \(F\)-tests

DOI10.1016/0304-4076(94)01700-XzbMath0842.62020OpenAlexW2027707491MaRDI QIDQ1915446

Subhash C. Sharma, Mukhtar M. Ali

Publication date: 4 August 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01700-x

zbMATH Keywords

sensitivitysample sizeLaguerre expansiondegrees of freedomnull distributionregression coefficientsnon-normal errorsF-testserror sums of squaresleveraged observationrobustness to nonormality

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION ⋮ The robustness of the RESET test to non-normal error terms ⋮ On improving the robustness and reliability of Rao's score test ⋮ The asymptotic distribution of the F‐test statistic for individual effects

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