论文信息 - Locally Best Invariant Tests of the Error Covariance Matrix of the Linear Regression Model

Locally Best Invariant Tests of the Error Covariance Matrix of the Linear Regression Model

SUMMARY This paper considers a class of hypothesis testing problems concerning the covariance matrix of the disturbances in the classical linear regression model. A test that is locally best invariant against one-sided alternative hypotheses is constructed and shown to be identical to a one-sided version of the Lagrange Multiplier test.

Maxwell L. King | M. King | G. Hillier | Grant Hillier

[1] N. Davies,et al. Error Mis-Specification and Spurious Regressions , 1978 .

[2] E. Lehmann. Testing Statistical Hypotheses , 1960 .

[3] Maxwell L. King,et al. A Small Sample Property of the Cliff-Ord Test for Spatial Correlation , 1981 .

[4] Gerald S. Rogers,et al. Mathematical Statistics: A Decision Theoretic Approach , 1967 .

[5] Lynn Roy LaMotte,et al. An Exact Test for the Presence of Random Walk Coefficients in a Linear Regression Model , 1978 .

[6] Alok Bhargava,et al. Serial Correlation and the Fixed Effects Model , 1982 .

[7] P. Burridge,et al. On the Cliff‐Ord Test for Spatial Correlation , 1980 .

[8] M. King. The alternative Durbin-Watson test: An assessment of Durbin and Watson's choice of test statistic , 1981 .

[9] J. Durbin,et al. Testing for serial correlation in least squares regression. II. , 1950, Biometrika.

[10] Hrishikesh D. Vinod,et al. “Generalization of the durbin-watson statistic for higher order autoregressive processes , 1973 .

[11] J. Besag. Efficiency of pseudolikelihood estimation for simple Gaussian fields , 1977 .

[12] Kenneth F. Wallis,et al. Testing for Fourth Order Autocorrelation in Qtrly Regression Equations , 1972 .

[13] Tsoung-Chao Lee,et al. The Theory and Practice of Econometrics , 1981 .