Abstract
This paper develops a Wald statistic for testing the validity of multivariate inequality constraints in linear regression models with spherically symmetric disturbances, and derive the distributions of the test statistic under null and nonnull hypotheses. The power of the test is then discussed. Numerical evaluations are also carried out to examine the power performances of the test for the case in which errors follow a multivariate student-t (Mt) distribution.
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Zhu’s research was supported by the National Natural Science Foundation of China under Grant No. 11301514 and National Bureau of Statistics of China under Grant No. 2012LZ012.
This paper was recommended for publication by Editor LIANG Hua.
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Zhu, R., Zhou, S.Z.F. Testing inequality constraints in a linear regression model with spherically symmetric disturbances. J Syst Sci Complex 27, 1204–1212 (2014). https://doi.org/10.1007/s11424-014-1150-0
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DOI: https://doi.org/10.1007/s11424-014-1150-0