Increasing the Power of the Test Through Pre-Test - A Robust Method

Robust test procedures are developed for testing the intercept of a simple regression model when the slope is (i) completely unspecified, (ii) specified to a fixed value, or (iii) suspected to be a fixed value. Defining (i) unrestricted (UT), (ii) restricted (RT), and (iii) pre-test test (PTT) funct...

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Bibliographic Details
Published in:Communications in statistics. Theory and methods 2011-01, Vol.40 (4), p.581-597
Main Authors: Yunus, Rossita M., Khan, Shahjahan
Format: Article
Language:English
Subjects:
Asymptotic power
Asymptotic properties
Asymptotic size
Contiguity
Distribution theory
Dominance
Econometrics
Exact sciences and technology
General topics
M-estimation
Mathematical analysis
Mathematical models
Mathematics
Methodology
Multivariate analysis
Parametric inference
Pre-test
Primary 62G10, 62G35
Probability and statistics
Regression
Regression analysis
Regression model
Sciences and techniques of general use
Secondary 62G20
Statistics
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Summary:Robust test procedures are developed for testing the intercept of a simple regression model when the slope is (i) completely unspecified, (ii) specified to a fixed value, or (iii) suspected to be a fixed value. Defining (i) unrestricted (UT), (ii) restricted (RT), and (iii) pre-test test (PTT) functions for the intercept parameter under the three choices of the slope, tests are formulated using the M-estimation methodology. The asymptotic distributions of the test statistics and their asymptotic power functions are derived. The analytical and graphical comparisons of the tests reveal that the PTT achieves a reasonable dominance over the other tests.
ISSN:0361-0926
1532-415X
DOI:10.1080/03610920903350572