Simple Robust Testing of Regression Hypotheses: A Comment
暂无分享,去创建一个
The paper by Kiefer, Vogelsang and Bunzel (2000), KVB henceforth, provides an interesting unconventional application of functional limit theory to a conventional problem. In this note, we point out that the limiting distribution of the t^{∗} test proposed by KVB turns out to be equivalent to the asymptotic distribution of one of the statistics analysed by Abadir and Paruolo (1997), AP henceforth. The mixed-Normal random variables studied in AP and KVB are different, but they have identical distributions. The purpose of this note is to prove this equivalence analytically.
[1] K. Abadir,et al. An Introduction to Hypergeometric Functions for Economists , 1999 .
[2] Nicholas M. Kiefer,et al. Simple Robust Testing of Regression Hypotheses , 2000 .
[3] Katsuto Tanaka. Testing for a Moving Average Unit Root , 1990, Econometric Theory.
[4] K. Abadir,et al. Two Mixed Normal Densities from Cointegration Analysis , 1997 .