IDEAS home Printed from https://ideas.repec.org/p/ags/monebs/267765.html

Marginal Likelihood Based Tests of a Subvector of the Parameter Vector of Linear Regression Disturbances

Author

Listed:
  • Ara, Ismat
  • King, Maxwell L.

Abstract

This paper is concerned with the problem of testing a subset of the parameters which characterize the error variance-covariance matrix in the general linear regression model. Formulae for likelihood ratio, Wald, Lagrange multiplier and asymptotically locally most mean powerful test statistics based on the likelihood of a maximal invariant statistic or an equivalent marginal likelihood are given. Specific applications discussed are the problems of testing against AR(4) disturbances in the presence of AR(1) disturbances and testing for a Hildreth-Houck (1968) random coefficient against the alternative of a Rosenberg (1973) random coefficient. Monte Carlo size and power calculations for these two testing problems are reported. These results provide further evidence that supports the proposed approach to test construction. It also suggests that better handling of nuisance parameters is likely to improve the small-sample properties of asymptotically based inference procedures.

Suggested Citation

  • Ara, Ismat & King, Maxwell L., "undated". "Marginal Likelihood Based Tests of a Subvector of the Parameter Vector of Linear Regression Disturbances," Department of Econometrics and Business Statistics Working Papers 267765, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:ags:monebs:267765
    DOI: 10.22004/ag.econ.267765
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/267765/files/monash-201.pdf
    Download Restriction: no
    File URL: https://ageconsearch.umn.edu/record/267765/files/monash-201.pdf?subformat=pdfa
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.267765?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:monebs:267765. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/dxmonau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.