Artículos de revistas
A modified signed likelihood ratio test in elliptical structural models
Fecha
2010Registro en:
ASTA-ADVANCES IN STATISTICAL ANALYSIS, v.94, n.1, p.75-87, 2010
1863-8171
10.1007/s10182-010-0123-4
Autor
MELO, Tatiane F. N.
FERRARI, Silvia L. P.
Institución
Resumen
In this paper we deal with the issue of performing accurate testing inference on a scalar parameter of interest in structural errors-in-variables models. The error terms are allowed to follow a multivariate distribution in the class of the elliptical distributions, which has the multivariate normal distribution as special case. We derive a modified signed likelihood ratio statistic that follows a standard normal distribution with a high degree of accuracy. Our Monte Carlo results show that the modified test is much less size distorted than its unmodified counterpart. An application is presented.