Tests of Linear Hypotheses and Lav Estimation: A Monte Carlo Comparison |
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| Authors: | Terry E. Dielman Roger C. Pfaffenberger |
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| Affiliation: | Texas Christian University , 76129 , Fort Worth , TX |
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| Abstract: | A Monte Carlo simulation is used to study the performance of the Wald, likelihood ratio and Lagrange multiplier tests for regression coefficients when least absolute value regression is used. The simulation results provide support for use of the Lagrange multiplier test, especially when certain computational advantages are considered. |
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| Keywords: | Ll-norm estimation least absolute value estimation simulation |
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