TY - JOUR

T1 - Joint one-sided tests of linear regression coefficients

AU - King, Maxwell L.

AU - Smith, Murray D.

N1 - Funding Information:
*This work was partially supported by a grant from the Australian Research Grants Scheme. The authors wish to thank Chan Kee Low and Beryl Leavesley for research assistance and Grant Hillier, Albert0 Holly, Brett Inder and two referees for helpful comments on earlier drafts. Previous versions of this paper were presented at the 1984 Australasian Meeting and the 1985 World Congress of the Econometric Society.

PY - 1986/8

Y1 - 1986/8

N2 - The main example of the class of problems considered below is that of testing whether a subset of regression coefficients are jointly zero assuming knowledge of the coefficients' signs. If this knowledge is ignored, the likelihood ratio, Wald, and Lagrange multiplier tests are each equivalent to the F-test. We propose a new test which can be applied as a one-sided t-test and which is UMPI in a subspace of the parameter space. Empirical power comparisons with the power envelope, the F-test, and the exact one-sided likelihood ratio test show that the new test can have exceptionally good power over a wide range of the parameter space.

AB - The main example of the class of problems considered below is that of testing whether a subset of regression coefficients are jointly zero assuming knowledge of the coefficients' signs. If this knowledge is ignored, the likelihood ratio, Wald, and Lagrange multiplier tests are each equivalent to the F-test. We propose a new test which can be applied as a one-sided t-test and which is UMPI in a subspace of the parameter space. Empirical power comparisons with the power envelope, the F-test, and the exact one-sided likelihood ratio test show that the new test can have exceptionally good power over a wide range of the parameter space.

UR - http://www.scopus.com/inward/record.url?scp=38249039651&partnerID=8YFLogxK

U2 - 10.1016/0304-4076(86)90020-5

DO - 10.1016/0304-4076(86)90020-5

M3 - Article

AN - SCOPUS:38249039651

SN - 0304-4076

VL - 32

SP - 367

EP - 383

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 3

ER -