- Autor
- Rajarshi Manohar B. (University of Pune, India), Ramanathan Thekke V. (University of Pune, India), Ghadge Chanchala A. (University of Pune, India)
- Tytuł
- Rank Based Tests for Testing the Constancy of the Regression Coefficients Against Random Walk Alternatives
- Źródło
- Operations Research and Decisions, 2011, vol. 21, no. 3-4, s. 35-55, tab., bibliogr. 29 poz.
- Słowa kluczowe
- Metody samowsporne, Modele regresji, Zmienne losowe, Symulacja
Bootstrap, Regression models, Random variable, Simulation - Uwagi
- summ.
- Abstrakt
- 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)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu - Pełny tekst
- Pokaż
- Bibliografia
-
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- Cytowane przez
- ISSN
- 2081-8858
- Język
- eng
- URI / DOI
- http://dx.doi.org/10.5277/ord1203-0403
