On the sensitivity of the one-sided t test to covariance misspecification
文献类型：期刊论文
| 作者 | Qin, Huaizhen2,3; Wan, Alan T. K.1; Zou, Guohua4 |
| 刊名 | JOURNAL OF MULTIVARIATE ANALYSIS
 |
| 出版日期 | 2009-09-01 |
| 卷号 | 100期号:8页码:1593-1609 |
| 关键词 | AR(1) Linear regression MA(1) Power Rule of thumb Sensitivity Size |
| ISSN号 | 0047-259X |
| DOI | 10.1016/j.jmva.2009.01.003 |
| 英文摘要 | 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, where as 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 t statistic to covariance misspecification. Unlike the earlier work by Banerjee and Magnus [A. Banerjee, J. R. Magnus, On the sensitivity of the usual t- and F-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 t 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 t test. (C) 2009 Elsevier Inc. All rights reserved. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000266565200002 |
| 出版者 | ELSEVIER INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/9156]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wan, Alan T. K. |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Univ Wisconsin, Dept Biostat & Med Informat, Madison, WI 53706 USA 3.Univ Wisconsin, Dept Stat, Madison, WI 53706 USA 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Qin, Huaizhen,Wan, Alan T. K.,Zou, Guohua. On the sensitivity of the one-sided t test to covariance misspecification[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2009,100(8):1593-1609. |
| APA | Qin, Huaizhen,Wan, Alan T. K.,&Zou, Guohua.(2009).On the sensitivity of the one-sided t test to covariance misspecification.JOURNAL OF MULTIVARIATE ANALYSIS,100(8),1593-1609. |
| MLA | Qin, Huaizhen,et al."On the sensitivity of the one-sided t test to covariance misspecification".JOURNAL OF MULTIVARIATE ANALYSIS 100.8(2009):1593-1609. |
入库方式： OAI收割
来源：数学与系统科学研究院
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