A bounds test of equality between sets of coefficients in two linear regressions when disturbance variances are unequal
A bounds test of equality between sets of coefficients in two linear regressions when disturbance variances are unequal
复制标题
当扰动方差不相等时，两个线性回归中系数组之间相等性的界限检验
DOI：
10.1080/01621459.1986.10478297
复制
发表时间：
1986
影响因子：
3.7
通讯作者：
Masahito Kobayashi
中科院分区：
文献类型：
--
作者：
Masahito Kobayashi
本文考虑了当干扰方差不等时，检验两个线性回归系数集相等的Wald检验统计量。它表明，在零假设下的检验统计量的分布是有界的，渐近到二阶，由两个F变量的分布乘以回归变量的数量。
Abstract This article considers the Wald test statistic for testing equality between sets of coefficients in two linear regressions when the disturbance variances are unequal. It is shown that the distribution of the test statistic under the null hypothesis is bounded, asymptotically up to the second order, by the distributions of two F variates multiplied by the number of the regressors.