Maximal invariant likelihood based testing of semi-linear models
In this paper, we use a maximal invariant likelihood (MIL) to construct two likelihood ratio (LR) tests. The first involves testing for the inclusion of a non-linear regressor and the second involves testing of a linear regressor against the alternative of a non-linear regressor. We report the results of a Monte Carlo experiment that compares the size and power properties of the traditional LR tests with those of our proposed MIL based LR tests. Our simulation results show that in both cases the MIL based tests have more accurate asymptotic critical values and better behaved (i.e., better centred) power curves than their classical counterparts
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Volume (Year): 48 (2007)
Issue (Month): 3 (September)
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- Laskar, M.R. & King, M.L., 1998. "Modified Likelihood and Related Methods for Handling Nuisance Parameters in the Linear Regression Model," Monash Econometrics and Business Statistics Working Papers 5/98, Monash University, Department of Econometrics and Business Statistics.
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