M-tests for multivariate regression model
The M-estimation method is used to define the unrestricted test, restricted test and pre-test test (PTT) for testing the intercept vector of a multivariate simple regression model when it is a priori suspected that the slope vector has some specified values. The asymptotic distribution of the test s...
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| Main Authors: | , |
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| Format: | Article |
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Taylor and Francis
2011
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/2169/ https://doi.org/10.1080/10485252.2010.503896 |
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| Summary: | The M-estimation method is used to define the unrestricted test, restricted test and pre-test test (PTT) for testing the intercept vector of a multivariate simple regression model when it is a priori suspected that the slope vector has some specified values. The asymptotic distribution of the test statistics and the asymptotic power functions of the proposed M-tests are derived. Performances of the M-tests are compared both analytically and graphically. The analytical results as well as an illustrative simulation study to compare the size and power of the M-tests reveal a reasonable dominance of the PTT over the other two tests. © American Statistical Association and Taylor & Francis 2011. |
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