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Bartlett Adjustments for Hypothesis Testing in Linear Models with General Error Covariance Matrices
http://hdl.handle.net/2261/53640
http://hdl.handle.net/2261/53640b17e17d2-edcf-46a3-8101-a29e931371e6
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Bartlett Adjustments for Hypothesis Testing in Linear Models with General Error Covariance Matrices | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asymptotic power function | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Bartlett adjustment | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | general consistent estimator | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | likelihood Ratio(LR) test | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | linear mixed model | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | linear regression model | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | nested error regression model(NERM) | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | parametric Bootstrap | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | restricted maximum likelihood(REML) estimator | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | restricted general consistent estimator | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | score test | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Wald test | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Kojima, Masahiro
× Kojima, Masahiro× Kubokawa, Tatsuya |
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| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Faculty of Economics, University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Consider the problem of testing a linear hypothesis of regression coefficients in a general linear regression model with an error term having a covariance matrix involving several nuisance parameters. Three typical test statistics of Wald, Score and Likelihood Ratio (LR) and their Bartlett adjustments have been derived in the literature when the unknown nuisance parameters are estimated by maximum likelihood (ML). On the other hand, statistical inference in linear mixed models has been studied actively and extensively in recent years with applications to smallarea estimation. The marginal distribution of the linear mixed model is included in the framework of the general linear regression model, and the nuisance parameters correspond to the variance components and others in the linear mixed model. Although the restricted ML (REML), minimum norm quadratic unbiased estimator (MINQUE) and other specific estimators are available for estimating the variance components, the Bartlett adjustments given in the literature are not correct for those estimators other than ML. In this paper, using the Taylor series expansion, we derive the Bartlett adjustments of the Wald, Score and modified LR tests for general consistent estimators of the unknown nuisance parameters. These analytical results may be harder to calculate for a model with a complicate structure of the covariance matrix. Thus, we propose the simple parametric bootstrap methods for estimating the Bartlett adjustments and show that they have the second order accuracy. Finally, it is shown that both Bartlett adjustments work well through simulation experiments in the nested error regression model. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-884, 発行日 2013-04 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf884ab.html | |||||
