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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
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;
0035-9246
98-102
King, Maxwell
e13d7c21-f172-4bce-a414-38ed7549a4a1
Hillier, Grant
3423bd61-c35f-497e-87a3-6a5fca73a2a1
King, Maxwell
e13d7c21-f172-4bce-a414-38ed7549a4a1
Hillier, Grant
3423bd61-c35f-497e-87a3-6a5fca73a2a1

King, Maxwell and Hillier, Grant (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), 98-102.

Record type: Article

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.

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More information

Published date: 1985
Keywords: Disturbance covariance matrix; LBI tests; LBUI tests;Linear Regression; LM test;

Identifiers

Local EPrints ID: 417375
URI: https://eprints.soton.ac.uk/id/eprint/417375
ISSN: 0035-9246
PURE UUID: 05c173c9-92a0-4552-8c4c-c49459b5bb08

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Date deposited: 30 Jan 2018 17:30
Last modified: 13 Mar 2019 18:58

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