Characterization of the exact finite-sample distribution of a routine test statistic for non-nested regressions

被引：2

作者：

Szroeter, J ^{[1
]}

机构：

[1] UNIV LONDON UNIV COLL,DEPT ECON,LONDON WC1E 6BT,ENGLAND

来源：

STATISTICS & PROBABILITY LETTERS | 1996年 / 29卷 / 01期

关键词：

non-nested regressions; most powerful test; Eigenvalues; exact finite-sample distribution; student T and root-F mixture; approximations;

D O I：

10.1016/0167-7152(95)00150-6

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 obtains a complete characterization of the previously unknown exact finite-sample distribution of a routine statistic for testing a linear regression function against a non-nested alternative. Simple approximations to the exact distribution are investigated.

引用

页码：9 / 14

页数：6

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