Rank Based Tests for Testing the Constancy of the Regression Coefficients Against Random Walk Alternatives

Rajarshi, Manohar B.; Ramanathan, Thekke V.; Ghadge, Chanchala A.

doi:10.5277/ord1203-0403

Author

Rajarshi Manohar B. (University of Pune, India), Ramanathan Thekke V. (University of Pune, India), Ghadge Chanchala A. (University of Pune, India)

Title

Rank Based Tests for Testing the Constancy of the Regression Coefficients Against Random Walk Alternatives

Source

Operations Research and Decisions, 2011, vol. 21, no. 3-4, s. 35-55, tab., bibliogr. 29 poz.

Keyword

Metody samowsporne, Modele regresji, Zmienne losowe, Symulacja
Bootstrap, Regression models, Random variable, Simulation

Note

summ.

Abstract

A class of approximately locally most powerful type tests based on ranks of residuals is suggested for testing the hypothesis that the regression coefficient is constant in a standard regression model against the alternatives that a random walk process generates the successive regression coefficients. We derive the asymptotic null distribution of such a rank test. This distribution can be described as a generalization of the asymptotic distribution of the Cramer-von Mises test statistic. However, this distribution is quite complex and involves eigen values and eigen functions of a known positive definite kernel, as well as the unknown density function of the error term. It is then natural to apply bootstrap procedures. Extending a result due to Shorack in [25], we have shown that the weighted empirical process of residuals can be bootstrapped, which solves the problem of finding the null distribution of a rank test statistic. A simulation study is reported in order to judge performance of the suggested test statistic and the bootstrap procedure. (original abstract)

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Full text

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Cited by

ISSN

2081-8858

Language

eng

URI / DOI

BazEkon - The Main Library of the Cracow University of Economics

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