Power in Econometric Applications
AbstractThis paper is concerned with the use of power properties of tests in econometric applications. Power radius and inverse power functions are defined. These functions are designed to yield summary measures of power that facilitate the interpretation of test results in practice. Simple approximations are introduced for the power radius and inverse power functions of Wald, likelihood ration, Lagrange multiplier, and Hausman tests. These approximations readily convey the general qualitative features of the power of a test. Examples are provided to illustrate their usefulness in interpreting test results.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 800.
Length: 54 pages
Date of creation: Aug 1986
Date of revision:
Publication status: Published in Econometrica (September 1989), 57(5): 1050-1090
Note: CFP 737.
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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