共查询到20条相似文献,搜索用时 390 毫秒
1.
Christos T. Nakas 《统计学通讯:模拟与计算》2013,42(5):1053-1059
This article studies the performance of the one-sample goodness-of-fit test which is based on the length of the P–P-plot initially introduced in a similar context by Reschenhofer and Bomze (1991). The distributional properties of the length test are revised empirically via simulations. In the Monte Carlo power study that follows the length test is shown empirically to have high power under various alternatives considered relative to members of the Cramér–von Mises family of goodness-of-fit tests, and the Kolmogorov–Smirnov test. 相似文献
2.
Pao-Sheng Shen 《统计学通讯:理论与方法》2013,42(16):4812-4823
ABSTRACTGandy and Jensen (2005) proposed goodness-of-fit tests for Aalen's additive risk model. In this article, we demonstrate that the approach of Gandy and Jensen (2005) can be applied to left-truncated right-censored (LTRC) data and doubly censored data. A simulation study is conducted to investigate the performance of the proposed tests. The proposed tests are illustrated using heart transplant data. 相似文献
3.
《统计学通讯:理论与方法》2013,42(4):857-873
ABSTRACT This article considers three practical hypotheses involving the equicorrelation matrix for grouped normal data. We obtain statistics and computing formulae for common test procedures such as the score test and the likelihood ratio test. In addition, statistics and computing formulae are obtained for various small sample procedures as proposed in Skovgaard (2001). The properties of the tests for each of the three hypotheses are compared using Monte Carlo simulations. 相似文献
4.
Hadi Alizadeh Noughabi 《Journal of applied statistics》2015,42(9):1973-1983
The logistic distribution has been used to model growth curves in survival analysis and biological studies. In this article, we propose a goodness-of-fit test for the logistic distribution based on the empirical likelihood ratio. The test is constructed based on the methodology introduced by Vexler and Gurevich [17]. In order to compute the test statistic, parameters of the distribution are estimated by the method of maximum likelihood. Power comparisons of the proposed test with some known competing tests are carried out via simulations. Finally, an illustrative example is presented and analyzed. 相似文献
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6.
Spectral domain tests for time series linearity typically suffer from a lack of power compared to time domain tests. We present two tests for Gaussianity and linearity of a stationary time series. The tests are two-stage procedures applying goodness-of-fit techniques to the estimated normalized bispectrum. We illustrate the performances of the tests are competitive with time domain tests. The new tests typically outperform Hinich's (1982) bispectral based test, especially when the length of the time series is not large. 相似文献
7.
This article proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal and Droge (2014) (henceforth panel SL test) to dependent panels. The dependence is modelled by unobserved common factors which affect the variables in each cross-section through heterogeneous loadings. The data are defactored following the panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai and Ng (2004) and the cointegrating rank of the defactored data is then tested by the panel SL test. A Monte Carlo study demonstrates that the proposed testing procedure has reasonable size and power properties in finite samples. 相似文献
8.
In Fortiana and Grané (2003), we introduced the statistic Q n , based on Hoeffding's maximum correlation, as a general-purpose goodness-of-fit test of uniformity. It admits an expansion along a countable set of orthogonal axes, originating a sequence of statistics. Linear combinations of a given number p of terms in this sequence have easy-to-compute probability distributions, either the exact ones for a finite sample or their normal asymptotic approximations for a large sample. In this article we develop an algorithm for tailoring a statistic within this class of linear combinations to test uniformity with optimal power against a specific alternative or family of alternatives. 相似文献
9.
Guillaume Chevillon 《Econometric Reviews》2017,36(5):514-545
Standard tests for the rank of cointegration of a vector autoregressive process present distributions that are affected by the presence of deterministic trends. We consider the recent approach of Demetrescu et al. (2009) who recommend testing a composite null. We assess this methodology in the presence of trends (linear or broken) whose magnitude is small enough not to be always detectable at conventional significance levels. We model them using local asymptotics and derive the properties of the test statistics. We show that whether the trend is orthogonal to the cointegrating vector has a major impact on the distributions but that the test combination approach remains valid. We apply of the methodology to the study of cointegration properties between global temperatures and the radiative forcing of human gas emissions. We find new evidence of Granger Causality. 相似文献
10.
This article deals with the locally most powerful rank tests for testing the hypothesis that two failure rates are equal against the alternative that one failure rate is greater than the other, when the combined ordered sample is multiple Type-II censored. A modified version of the Dupa? and Hájek (1969) theorem is used to establish their asymptotic normality under fixed alternative since the scores generating functions associated with these rank test statistics have a finite number of jump discontinuities. The modified version that leads to a simpler centering constant, is proved by Dupa? (1970) using the results of Hájek (1968). The Pitman AREs of these rank tests based on censored data relative to the corresponding tests based on complete data are obtained under some Lehmann-type alternative distributions such that their failure rates dominate the failure rates of the respective null distributions. The AREs are computed numerically for single (left or right) and double censored data, and the extent of loss due to these censoring schemes is discussed. The rank tests considered here include among them the Mann-Whiney-Wilcoxon (MWW) test, the Savage test, and the linear combination of these two tests. In the case of all the tests, except the MWW test, it is found that the loss of efficiency due to left censoring is considerably less than that due to right censoring. In the case of finite samples, Monte Carlo simulation results showing the empirical levels and empirical powers against some Lehmann alternatives are presented. 相似文献
11.
In this article, we use cumulative residual Kullback-Leibler information (CRKL) and cumulative Kullback-Leibler information (CKL) to construct two goodness-of-fit test statistics for testing exponentiality with progressively Type-II censored data. The power of the proposed tests are compared with the power of goodness-of-fit test for exponentiality introduced by Balakrishnan et al. (2007). We show that when the hazard function of the alternative is monotone decreasing, the test based on CRKL has higher power and when the hazard function of the alternative is non-monotone, the test based on CKL has higher power. But, when it is monotone increasing the power difference between test based on CKL and their proposed test is not so remarkable. The use of the proposed tests is shown in an illustrative example. 相似文献
12.
ABSTRACTThis paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based inference methods. The approach exploits the moments of normal mixtures implied by the regime-switching process and uses Monte Carlo test techniques to deal with the presence of an autoregressive component in the model specification. The proposed tests have very respectable power in comparison with the optimal tests for Markov-switching parameters of Carrasco et al. (2014), and they are also quite attractive owing to their computational simplicity. The new tests are illustrated with an empirical application to an autoregressive model of USA output growth. 相似文献
13.
In this article, we develop the theory of k-factor Gegenbauer Autoregressive Moving Average (GARMA) process with infinite variance innovations which is a generalization of the stable seasonal fractional Autoregressive Integrated Moving Average (ARIMA) model introduced by Diongue et al. (2008). Stationarity and invertibility conditions of this new model are derived. Conditional Sum of Squares (CSS) and Markov Chains Monte Carlo (MCMC) Whittle methods are investigated for parameter estimation. Monte Carlo simulations are also used to evaluate the finite sample performance of these estimation techniques. Finally, the usefulness of the model is corroborated with the application to streamflow data for Senegal River at Bakel. 相似文献
14.
In a previous article (Grané and Fortiana, 2006), we studied a flexible class of goodness-of-fit tests associated with an orthogonal sequence, the Karhunen–Loève decomposition of a stochastic process derived from the null hypothesis. Generally speaking, these tests outperform Kolmogorov–Smirnov and Cramér–von Mises, but we registered several exceptions. In this work we investigate the cause of these anomalies and, more precisely, whether and when such poor behavior may be attributed to the orthogonal sequence itself, by replacing it with the Legendre polynomials, a commonly used basis for smooth tests. We find an easily computable formula for the Bahadur asymptotic relative efficiency, a helpful quantity in choosing an adequate basis. 相似文献
15.
In this article, we propose a new nonparametric test for detecting umbrella alternatives. It is designed to improve the power of Pan (1996)'s test, which is based on the breakdown of umbrella alternatives into a union of simple-ordered alternatives. Distribution-free tests are proposed in the case where the peak of the umbrella is unknown. Some actual data examples and the results of a Monte Carlo power study are also discussed. 相似文献
16.
Haiqi Li 《Econometric Reviews》2018,37(8):867-892
The nonlinear unit root test of Kapetanios, Shin, and Snell (2003) (KSS) has attracted much recent attention. However, the KSS test relies on the ordinary least squares (OLS) estimator, which is not robust to a heavy-tailed distribution and, in practice, the test suffers from a large power loss. This study develops three kinds of quantile nonlinear unit root tests: the quantile t-ratio test; the quantile Kolmogorov–Smirnov test; and the quantile Cramer–von Mises test. A Monte Carlo simulation shows that these tests have significantly better power when an innovation follows a non-normal distribution. In addition, the quantile t-ratio test can reveal the heterogeneity of the asymmetric dynamics in a time series. In our empirical studies, we investigate the unit root properties of U.S. macroeconomic time series and the real effective exchange rates for 61 countries. The results show that our proposed tests reject the unit roots more often, indicating that the series are likely to be asymmetric nonlinear reverting processes. 相似文献
17.
Verônica M. C. Lima Tatiene C. Souza Francisco Cribari-Neto Gilênio B. Fernandes 《统计学通讯:模拟与计算》2013,42(1):194-206
The assumption that all errors share the same variance (homoskedasticity) is commonly violated in empirical analyses carried out using the linear regression model. A widely adopted modeling strategy is to perform point estimation by ordinary least squares and then perform testing inference based on these point estimators and heteroskedasticity-consistent standard errors. These tests, however, tend to be size-distorted when the sample size is small and the data contain atypical observations. Furno (1996) suggested performing point estimation using a weighted least squares mechanism in order to attenuate the effect of leverage points on the associated inference. In this article, we follow up on her proposal and define heteroskedasticity-consistent covariance matrix estimators based on residuals obtained using robust estimation methods. We report Monte Carlo simulation results (size and power) on the finite sample performance of different heteroskedasticity-robust tests. Overall, the results favor inference based on HC0 tests constructed using robust residuals. 相似文献
18.
Federico O'Reilly 《统计学通讯:理论与方法》2013,42(12):2207-2212
Lindqvist and Taraldsen (2005) introduced an interesting parametric family of distributions in the unit interval. In this note, inference procedures are given, both from the classical and the Bayesian view point. It is shown numerically through various examples that the posterior distribution for the parameter and the induced fiducial distribution are almost equivalent. The parametric family under study is a regular member of the Natural Exponential Family and so use of this fact permits induction of a unique fiducial in terms of the minimal sufficient statistic. 相似文献
19.
Luis F. Martins 《Econometric Reviews》2018,37(5):466-483
This article proposes wild and the independent and identically distibuted (i.i.d.) parametric bootstrap implementations of the time-varying cointegration test of Bierens and Martins (2010). The bootstrap statistics and the original likelihood ratio test share the same first-order asymptotic null distribution. Monte Carlo results suggest that the bootstrap approximation to the finite-sample distribution is very accurate, in particular for the wild bootstrap case. The tests are applied to study the purchasing power parity hypothesis for twelve Organisation for Economic Cooperation and Development (OECD) countries and we only find evidence of a constant long-term equilibrium for the U.S.–U.K. relationship. 相似文献
20.
Stephen G. Donald 《Econometric Reviews》2016,35(4):553-585
We extend Hansen's (2005) recentering method to a continuum of inequality constraints to construct new Kolmogorov–Smirnov tests for stochastic dominance of any pre-specified order. We show that our tests have correct size asymptotically, are consistent against fixed alternatives and are unbiased against some N?1/2 local alternatives. It is shown that by avoiding the use of the least favorable configuration, our tests are less conservative and more powerful than Barrett and Donald's (2003) and in some simulation examples we consider, we find that our tests can be more powerful than the subsampling test of Linton et al. (2005). We apply our method to test stochastic dominance relations between Canadian income distributions in 1978 and 1986 as considered in Barrett and Donald (2003) and find that some of the hypothesis testing results are different using the new method. 相似文献