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线性回归模型中若干误差协方差矩阵检验的最优性AI 解读

SUMMARY This paper adopts the approach of conditional distributions to investigate the optimality of some tests of the error covariance matrix in the linear regression model. Specifically, we show that point optimal tests, advocated by King and Evans and King, are the most powerful similar test. We also derive the locally best similar and the locally best unbiased similar tests. Finding the latter cumbersome to apply, we then propose the asymptotically best similar and the…

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非正态扰动下误差成分模型的检验AI 解读

This paper derives the limit distribution of the test statistics for the error components model proposed by Breusch and Pagan under the assumption of non-normal disturbances and under a sequence of local alternatives, and shows that the Breusch-Pagan tests are robust to non-normal disturbances. The paper also points out that the Breusch-Pagan tests do not make full use of the information provided by the one-sided alternative. And it proposes a one-sided alternative test for…

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