This paper considers tests of the transformation parameter of the Box-Cox model when the distribution of the error is unknown. Monte Carlo experiments are carried out to investigate the rejection probabilities of the GMM-based Wald and Lagrange Multiplier (LM) tests when the null hypothesis is...

This chapter presents a survey of multiple hypothesis testing procedures with an emphasis on those procedures that can be applied in the context of the classical linear regression model. Multiple hypothesis testing is the testing of two or more separate hypotheses simultaneously. The t and F...