Joint one-sided tests of linear regression coefficients

Maxwell L. King, Murray D. Smith

Research output: Contribution to journalArticleResearchpeer-review

10 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)367-383
Number of pages17
JournalJournal of Econometrics
Volume32
Issue number3
DOIs
Publication statusPublished - Aug 1986

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