Monash University

Deriving Tests of the Regression Model using the Density Function of a Maximal Invariant

Email address: Jahar.Bhowmik@BusEco.monash.edu.au

Keywords: Invariance; linear regression model; locally best invariant test; non-linear regression model; nuisance parameters; t-test.

JEL Classifications: C2, C12

Abstract:
In the context of the linear regression model in which some regression coefficients are of interest and others are purely nuisance parameters, we derive the density function of a maximal invariant statistic. This allows the construction of a range of optimal test statistics including the locally best invariant test which is equivalent to the well-known one-sided t-test. The approach is also extended to the general linear regression model in which the covariance matrix is nonscalar and to non-linear regression models.

PDF file of paper: bhowmik.pdf

Session: Econometric Methods I

Time: Saturday, 7 July, 8am - 9:30am

Room: B