Distance-Based One-Sided Wald Test for Restricted Alternatives
Год выпуска: 2013 Автор: Rumana Rois and Ajit Kumar Majumder Издательство: LAP Lambert Academic Publishing Страниц: 184 ISBN: 9783838380919 Описание Whenever the sign of the parameters are known of an econometric model, usual two-sided tests are no longer appropriate. In this situation, we propose a distance-based one-sided Wald test, a likelihood based test, to test one-sided alternative. Monte Carlo simulations are conducted to compare power properties of the proposed test with their respective two-sided counterparts. This text emphasizes the use of distance-based one-sided concepts in testing higher order autocorrelation in the context of linear as well as dynamic regression models.
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Дмитрий, 27.06 Спасибо за оперативность.