Locally best invariant tests of the error covariance matrix of the linear regression model
Locally best invariant tests of the error covariance matrix of the linear regression model
This paper considers a class of hypothesis testing problems concerning the covariance matrix of the disturbances in the classical linear regression model. A test that is locally best invariant against one-sided alternative hypotheses is constructed and shown to be identical to a one-sided version of the Lagrange Multiplier test.
Disturbance covariance matrix; LBI tests; LBUI tests;Linear Regression; LM test;
98-102
King, Maxwell L.
e13d7c21-f172-4bce-a414-38ed7549a4a1
Hillier, Grant H.
3423bd61-c35f-497e-87a3-6a5fca73a2a1
1985
King, Maxwell L.
e13d7c21-f172-4bce-a414-38ed7549a4a1
Hillier, Grant H.
3423bd61-c35f-497e-87a3-6a5fca73a2a1
King, Maxwell L. and Hillier, Grant H.
(1985)
Locally best invariant tests of the error covariance matrix of the linear regression model.
Journal of the Royal Statistical Society. Series B: Methodological, 47 (1), .
Abstract
This paper considers a class of hypothesis testing problems concerning the covariance matrix of the disturbances in the classical linear regression model. A test that is locally best invariant against one-sided alternative hypotheses is constructed and shown to be identical to a one-sided version of the Lagrange Multiplier test.
This record has no associated files available for download.
More information
Published date: 1985
Keywords:
Disturbance covariance matrix; LBI tests; LBUI tests;Linear Regression; LM test;
Identifiers
Local EPrints ID: 417375
URI: http://eprints.soton.ac.uk/id/eprint/417375
ISSN: 0035-9246
PURE UUID: 05c173c9-92a0-4552-8c4c-c49459b5bb08
Catalogue record
Date deposited: 30 Jan 2018 17:30
Last modified: 16 Mar 2024 02:42
Export record
Contributors
Author:
Maxwell L. King
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics
