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Testing Linear Restrictions on Coefficients in a Linear Regression Model with Proxy Variables and Spherically Symmetric Disturbances

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  • Ohtani, Kazuhiro
  • Giles, Judith A.

Abstract

In this paper we consider the power function of the classical F test for linear restrictions on the coefficients in a linear regression model with spherically symmetric disturbances when proxies are used in the place of unobservable regressors. We numerically evaluate the power function assuming multivariate Student-t (Mt) regression disturbances in a simple univariate regression model. Our results show the effects on the power function of the degrees of freedom of the Mt distribution and of the correlation between the omitted and the proxy variable.

Suggested Citation

  • Ohtani, Kazuhiro & Giles, Judith A., "undated". "Testing Linear Restrictions on Coefficients in a Linear Regression Model with Proxy Variables and Spherically Symmetric Disturbances," Department of Economics Discussion Papers 262998, University of Canterbury - New Zealand.
    • Handle: RePEc:ags:canzdp:262998
    DOI: 10.22004/ag.econ.262998
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    References listed on IDEAS

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    1. Kakimoto, Sumio & Ohtani, Kazuhiro, 1985. "On the use of a proxy variable in the test for homoscedasticity," Economics Letters, Elsevier, vol. 18(2-3), pages 153-156.
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    2. Akio Namba & Kazuhiro Ohtani, 2007. "Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion," Statistical Papers, Springer, vol. 48(1), pages 151-162, January.
    3. Akio Namba, 2001. "MSE performance of the 2SHI estimator in a regression model with multivariate t error terms," Statistical Papers, Springer, vol. 42(1), pages 81-96, January.

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