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M-tests for multivariate regression model

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  • Rossita Yunus
  • Shahjahan Khan

Abstract

The M-estimation method is used to define the unrestricted test, restricted test and pre-test test (PTT) for testing the intercept vector of a multivariate simple regression model when it is a priori suspected that the slope vector has some specified values. The asymptotic distribution of the test statistics and the asymptotic power functions of the proposed M-tests are derived. Performances of the M-tests are compared both analytically and graphically. The analytical results as well as an illustrative simulation study to compare the size and power of the M-tests reveal a reasonable dominance of the PTT over the other two tests.

Suggested Citation

  • Rossita Yunus & Shahjahan Khan, 2011. "M-tests for multivariate regression model," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(1), pages 201-218.
  • Handle: RePEc:taf:gnstxx:v:23:y:2011:i:1:p:201-218
    DOI: 10.1080/10485252.2010.503896
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