Afrika Statistika

Bootstrap Bartlett Adjustment on Decomposed Variance-Covariance Matrix of Seemingly Unrelated Regression Model

Oluwayemisi Oyeronke ALABA and Afeez Abolaji LAWAL

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Abstract

We investigated hypothesis testing in Seemingly Unrelated Regression (SUR) using Log Likelihood Ratio (LLR) test. The asymptotic distribution of this statistic is well documented in literature to have substantial inaccuracy by an order of magnitude leading to the rejection of too many true null hypotheses. Bartlett adjustment of Barndorff and Blaesild and Efron's bootstrap methods were considered to provide more accurate significance level to the distribution. Simulation results from the partitioned variance-covariance matrix showed that the lower triangular matrix performed better than the upper triangular matrix. The Bartlett method of Barndorff and Blaesild provided better significance value than the bootstrap method.

Résumé

Ici, nous étudions des tests d'hypothèses dans une regression avec vraisemblance de non-correlation, basée le rapport du logarithme de la vraisemblance. La distribution asymptotique de la statistique utilisée est connue pour avoir une grande efficacité. Pour rémédier à cette situation, deux types dùajustement sont considerés : un base sur la méthode de Bartlett et un autre base sur la méthode de Barndorff et Blaesid. Une étude de simulation montre l'éfficacité des méthodes d'ajustement et la superiorité du second ajustement sur le premier.

Article information

Source
Afr. Stat., Volume 14, Number 1 (2019), 1891-1902.

Dates
First available in Project Euclid: 24 May 2019

Permanent link to this document
https://projecteuclid.org/euclid.as/1558664060

Digital Object Identifier
doi:10.16929/as/2019.1891.140

Mathematical Reviews number (MathSciNet)
MR3954229

Zentralblatt MATH identifier
07058648

Subjects
Primary: 62J05: Linear regression 62F03: Hypothesis testing

Keywords
Bartlett adjustment bootstrap generalised least squares likelihood ratio test maximum likelihood triangular matrices seemingly unrelated regression

Citation

ALABA, Oluwayemisi Oyeronke; LAWAL, Afeez Abolaji. Bootstrap Bartlett Adjustment on Decomposed Variance-Covariance Matrix of Seemingly Unrelated Regression Model. Afr. Stat. 14 (2019), no. 1, 1891--1902. doi:10.16929/as/2019.1891.140. https://projecteuclid.org/euclid.as/1558664060


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