Locally most powerful test for testing the equality of variances of two linear models with common regression parameters

In this paper, the problem of testing the equality of two homoscedastic normal linear models with common regression parameters is considered. A locally most powerful test which is invariant with respect to the group of location and scale transformations of the observations is derived. The test statistic when simplified reduces to the ASR test statistic proposed and studied by Chaubey (1981). The robustness of this test is further explored.

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Year of publication:	1991
Authors:	Ahmad, Manzoor ; Chaubey, Yogendra P.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 11.1991, 2, p. 149-153
Publisher:	Elsevier
Keywords:	Heteroscedasticity LMP test elliptically symmetric distributions ASR test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137775