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

被引：0

作者：

Zhu Rong ^{[1
,2
]}

Zhou, Sherry Z. F. ^{[1
,2
]}

机构：

[1] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China

[2] City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2014年 / 27卷 / 06期

基金：

中国国家自然科学基金;

关键词：

Inequality constraint; spherically symmetric distribution; Wald test; SQUARED ERROR LOSS; SAMPLING PERFORMANCE; RESTRICTED ESTIMATOR; HYPOTHESIS; PRETEST; COEFFICIENTS; PARAMETER; VARIANCE; PRICES;

D O I：

10.1007/s11424-014-1150-0

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

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.

引用

页码：1204 / 1212

页数：9

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