Testing inequality constraints in a linear regression model with spherically symmetric disturbances

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	Testing inequality constraints in a linear regression model with spherically symmetric disturbances
其他题名	TESTING INEQUALITY CONSTRAINTS IN A LINEAR REGRESSION MODEL WITH SPHERICALLY SYMMETRIC DISTURBANCES
	Zhu Rong; Zhou Sherry Z F
	2014-01-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	27 期号:6 页码:1204-1212
摘要	This paper develops a Wald statistic for testing the validity of multivariate inequality constraints in linear regression models with spherically symmetric disturbances, and derive the distributions of the test statistic under null and nonnull hypotheses. The power of the test is then discussed. Numerical evaluations are also carried out to examine the power performances of the test for the case in which errors follow a multivariate student-t (Mt) distribution.
其他摘要	This paper develops a Wald statistic for testing the validity of multivariate inequality constraints in linear regression models with spherically symmetric disturbances,and derive the distributions of the test statistic under null and nonnull hypotheses.The power of the test is then discussed.Numerical evaluations are also carried out to examine the power performances of the test for the case in which errors follow a multivariate student-t(Mt) distribution.
关键词	SQUARED ERROR LOSS SAMPLING PERFORMANCE RESTRICTED ESTIMATOR HYPOTHESIS PRETEST COEFFICIENTS PARAMETER VARIANCE PRICES Inequality constraint spherically symmetric distribution Wald test
收录类别	CSCD
语种	英语
资助项目	[National Natural Science Foundation of China] ; [National Bureau of Statistics of China]
CSCD记录号	CSCD:5314392
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/56866
专题	中国科学院数学与系统科学研究院
作者单位	中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Zhu Rong,Zhou Sherry Z F. Testing inequality constraints in a linear regression model with spherically symmetric disturbances[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2014,27(6):1204-1212.
APA	Zhu Rong,&Zhou Sherry Z F.(2014).Testing inequality constraints in a linear regression model with spherically symmetric disturbances.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,27(6),1204-1212.
MLA	Zhu Rong,et al."Testing inequality constraints in a linear regression model with spherically symmetric disturbances".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 27.6(2014):1204-1212.