On the sensitivity of the one-sided t test to covariance misspecification

doi:10.1016/j.jmva.2009.01.003

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	On the sensitivity of the one-sided t test to covariance misspecification
	Qin, Huaizhen 2,3; Wan, Alan T. K.1; Zou, Guohua 4
	2009-09-01
发表期刊	JOURNAL OF MULTIVARIATE ANALYSIS
ISSN	0047-259X
卷号	100 期号:8 页码:1593-1609
摘要	Sensitivity analysis stands in contrast to diagnostic testing in that sensitivity analysis aims to answer the question of whether it matters that a nuisance parameter is non-zero, where as a diagnostic test ascertains explicitly if the nuisance parameter is different from zero. In this paper, we introduce and derive the finite sample properties of a sensitivity statistic measuring the sensitivity of the t statistic to covariance misspecification. Unlike the earlier work by Banerjee and Magnus [A. Banerjee, J. R. Magnus, On the sensitivity of the usual t- and F-tests to covariance misspecification, Journal of Econometrics 95 (2000) 157-176] on the sensitivity of the F statistic, the theorems derived in the current paper hold under both the null and alternative hypotheses. Also, in contrast to Banerjee and Magnus' [see the above cited reference] results on the F test, we find that the decision to accept the null using the OLS based one-sided t test is not necessarily robust against covariance misspecification and depends much on the underlying data matrix. Our results also indicate that autocorrelation does not necessarily weaken the power of the OLS based t test. (C) 2009 Elsevier Inc. All rights reserved.
关键词	AR(1) Linear regression MA(1) Power Rule of thumb Sensitivity Size
DOI	10.1016/j.jmva.2009.01.003
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000266565200002
出版者	ELSEVIER INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/9157
专题	中国科学院数学与系统科学研究院
通讯作者	Wan, Alan T. K.
作者单位	1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Univ Wisconsin, Dept Biostat & Med Informat, Madison, WI 53706 USA 3.Univ Wisconsin, Dept Stat, Madison, WI 53706 USA 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Qin, Huaizhen,Wan, Alan T. K.,Zou, Guohua. On the sensitivity of the one-sided t test to covariance misspecification[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2009,100(8):1593-1609.
APA	Qin, Huaizhen,Wan, Alan T. K.,&Zou, Guohua.(2009).On the sensitivity of the one-sided t test to covariance misspecification.JOURNAL OF MULTIVARIATE ANALYSIS,100(8),1593-1609.
MLA	Qin, Huaizhen,et al."On the sensitivity of the one-sided t test to covariance misspecification".JOURNAL OF MULTIVARIATE ANALYSIS 100.8(2009):1593-1609.