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A Comment on “A Review of Student Test Properties in Condition of Multifactorial Linear Regression”

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  • Eisenstat, Eric

    () (Department of Economics, University of California, Irvine, United States)

Abstract

A recent article (Pavelescu, 2009) proposes a correction to the conventional student-t test of significance in linear regression models, but offers no formal description of its properties. This comment formally characterizes the sampling properties of the corrected student-t statistic. In application to multifactorial regressions, it turns out that the corrected student-t statistic is not ancillary – its sampling distribution depends on unknown nuisance parameters.Therefore, it is impossible to reasonably compute critical values and operatively designate a rejection criterion using such a test statistic, which makes the proposed testing procedure impractical. Some suggestions regarding the search for similar testing procedures are proposed and a Bayesian alternative is further discussed.

Suggested Citation

  • Eisenstat, Eric, 2010. "A Comment on “A Review of Student Test Properties in Condition of Multifactorial Linear Regression”," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 53-73, September.
  • Handle: RePEc:rjr:romjef:v::y:2010:i:3:p:53-73
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    References listed on IDEAS

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    1. Pavelescu, Florin Marius, 2009. "A Review Of Student Test Properties In Condition Of Multifactorial Linear Regression," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(1), pages 63-75, March.
    2. John Freebairn & Bill Griffiths, 2006. "Introduction," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages 1-1, September.
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    More about this item

    Keywords

    multifactorial classical normal regression; collinearity; multicollinearity; significance test; sampling distributions; power functions; Bayesian linear regression; prior information; posterior distributions;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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