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Tests of Linear Hypotheses and Lav Estimation: A Monte Carlo Comparison

 

作者: Terry E. Dielman,   Roger C. Pfaffenberger,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1990）
卷期: Volume 19, issue 4  

页码: 1179-1199

 

ISSN:0361-0918

 

年代: 1990

 

DOI:10.1080/03610919008812911

 

出版商: Marcel Dekker, Inc.

 

关键词: Ll-norm estimation;least absolute value estimation;simulation

 

数据来源: Taylor

 

摘要:

A Monte Carlo simulation is used to study the performance of the Wald, likelihood ratio and Lagrange multiplier tests for regression coefficients when least absolute value regression is used. The simulation results provide support for use of the Lagrange multiplier test, especially when certain computational advantages are considered.

 

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