Linear Signed Rank Test for Model Selection |
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Authors: | Abdolreza Sayyareh |
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Institution: | Razi University, Kermanshah, Iran |
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Abstract: | In this article, we consider a linear signed rank test for non-nested distributions in the context of the model selection. Introducing a new test, we show that, it is asymptotically more efficient than the Vuong test and the test statistic based on B statistic introduced by Clarke. However, here, we let the magnitude of the data give a better performance to the test statistic. We have shown that this test is an unbiased one. The results of simulations show that the rank test has the greater statistical power than the Vuong test where the underline distributions is symmetric. |
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Keywords: | Distribution-free test Rank test Vuong test |
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