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

• Autorzy: Manohar B. Rajarshi , Thekke V. Ramanathan , Chanchala A. Ghadge
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Regression models; Random variable; Simulation; Bootstrap

PL

Modele regresji; Zmienne losowe; Symulacja; Metody samowsporne

• Czasopismo: Operations Research and Decisions
• Rocznik: 2011
• Tom: 21
• Numer: nr 3-4
• Strony: 35--55

Twórcy

autor

Manohar B. Rajarshi

• University of Pune, India

autor

Thekke V. Ramanathan

• University of Pune, India

autor

Chanchala A. Ghadge

• University of Pune, India

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Identyfikatory

DOI

10.5277/ord1203-0403