Rank based tests for testing the constancy of the regression coefficients against random walk alternatives

• Autorzy: Rajarshi M. B. , Ramanathan T. V. , Ghadge C. A.
• 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 coe?cients. 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 defnite 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.

Słowa kluczowe

EN

bootstrap; random coefficient regression models; random walk alternative models; rank tests; weighted empirical and rank processes

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Operations Research and Decisions
• Rocznik: 2011
• Tom: Vol. 21, No. 3-4
• Strony: 35--55
• Opis fizyczny: Bibliogr. 29 poz., tab.

Twórcy

autor

Rajarshi M. B.

autor

Ramanathan T. V.

autor

Ghadge C. A.

• Department of Statistics, University of Pune, Pune 411 007, India,

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