On the Robustness of LM, LR, and W Tests in Regression Models
From MaRDI portal
Publication:3678473
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
likelihood ratio testWald testsLagrange multiplier testrobustness of testssmall sample casemultivariate Student t
Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)
Related Items
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
