Test for independence of two multivariate regression equations with different design matrices

DOI10.1016/0047-259X(84)90058-7MaRDI QIDQ762856zbMATH OpenOpenAlexFDO

Authors Takeaki Kariya, P. R. Krishnaiah, Yasunori Fujikoshi

Publication date 1984

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(84)90058-7

zbMATH Keywords

canonical correlationsdifferent design matricesmultivariate regression equationstests for independence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Review text

Many works were done in the literature on the problems of estimation and testing of hypotheses under the classical multivariate regression model. They were primarily done under the assumption that the design matrix remains the same for all variables. But this assumption is unrealistic in some occasions since the nature of some variables is different from others. The authors propose a locally best invariant (LBI) test for the independence of two multivariate regression equations with different design matrices. Asymptotic null distributions of the LBI test statistic and two other test statistics useful for testing the independence of two multivariate regression equations are derived. The asymptotic nonnull distributions of the test statistics associated with the above procedures under local alternatives are also derived.

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Cites work

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Cited in

(9)

• Tests for sphericity under correlated multivariate regression equations model
• Tests for equality of parameter matrices in two multivariate linear models
• On tests for selection of variables and independence under multivariate regression models
• Distribution theory for some tests of independence of seemingly unrelated regressions
• Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• One-sided tests for independence of seemingly unrelated regression equations
• Multivariate regression with consecutively added dependent variables
• A note on multivariate linear regression
• Invariant Polynomials and Related Tests

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