HYPOTHESIS-TESTING OF COMMON ROOTS

被引：3

作者：

KLEIN, A

机构：

[1] Department of Economic Statistics, University of Amsterdam, 1018 WB Amsterdam

来源：

STATISTICS & PROBABILITY LETTERS | 1994年 / 20卷 / 02期

关键词：

COMMON ROOTS; WALD-TEST; STATE SPACE MODEL; SPECTRAL DENSITY; SYLVESTER RESULTANT MATRIX; COMPANION MATRIX; FISHER INFORMATION MATRIX;

D O I：

10.1016/0167-7152(94)90033-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper deals with the Wald-test examining the null hypothesis for testing common roots of polynomials when the corresponding model is in a state space form. Since the Wald-test uses the inverse of the Fisher information matrix, an appropriate adjustment is then considered when the information matrix becomes singular. This will be the case in the presence of common roots.

引用

页码：163 / 167

页数：5