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Testing the disturbance variance after a pre-test for a linear hypothesis on coefficients in a linear regression
Authors:Kazuhiro Ohtani
Affiliation:Faculty of Economics , Kobe university , Nada-ku, Kobe, 657, Japan
Abstract:In this paper, we examine the sampling performance of a two-stage test which consists of a pre-test for a linear hypothesis on regression coeffiecients followed by a main-test for a disturbance variance in a linear regression. It is shown that the actual size of the two-stage test can be well-controlled around the normal size if the suggested sizes presented in this paper are used in the pre-test. It is also shown that the two-stage test when the suggested sizes are used in the preferable to the usual test for the disturbance variable which incorporates no pre-test in terms of the power.
Keywords:linear hypothesis on regression coefficients  pre-test  test for the disturbance variance  two-stage test
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