کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146863 957534 2009 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the sensitivity of the one-sided tt test to covariance misspecification
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
On the sensitivity of the one-sided tt test to covariance misspecification
چکیده انگلیسی

Sensitivity analysis stands in contrast to diagnostic testing in that sensitivity analysis aims to answer the question of whether it matters that a nuisance parameter is non-zero, whereas a diagnostic test ascertains explicitly if the nuisance parameter is different from zero. In this paper, we introduce and derive the finite sample properties of a sensitivity statistic measuring the sensitivity of the tt statistic to covariance misspecification. Unlike the earlier work by Banerjee and Magnus [A. Banerjee, J.R. Magnus, On the sensitivity of the usual tt- and FF-tests to covariance misspecification, Journal of Econometrics 95 (2000) 157–176] on the sensitivity of the F statistic, the theorems derived in the current paper hold under both the null and alternative hypotheses. Also, in contrast to Banerjee and Magnus’ [see the above cited reference] results on the F test, we find that the decision to accept the null using the OLS based one-sided tt test is not necessarily robust against covariance misspecification and depends much on the underlying data matrix. Our results also indicate that autocorrelation does not   necessarily weaken the power of the OLS based tt test.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 100, Issue 8, September 2009, Pages 1593–1609
نویسندگان
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