One-sided tests for independence of seemingly unrelated regression equations

In a seemingly unrelated regression model with p([greater-or-equal, slanted]2) equations, this paper considers the problem of testing independence of equations against a one-sided alternative hypothesis. The power functions of invariant tests are evaluated and the locally most mean powerful invariant test is obtained.

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Year of publication:	2004
Authors:	Kurata, Hiroshi
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 90.2004, 2, p. 393-406
Publisher:	Elsevier
Keywords:	Invariance One-sided hypothesis Locally most mean powerful test Seemingly unrelated regression model Independence

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

Persistent link: https://www.econbiz.de/10005093826