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An F-type small sample simultaneous test for nested linear regression models |
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| Authors: | Nobuhiko Terui |
| Institution: | Department of Economics , Yamagata University , Yamagata, Japan |
| Abstract: | A small sample simultaneous testing method is proposed for nested linear regression model. The methodology is based on the generalized likelihood ratio test which is the large sample simultaneous testing method for general nested models. The proposed test is also used for model identification. |
| Keywords: | generalized likelihood ratio test nested linear regression model model identification p-value simultaneous test |