Empirical likelihood based hypothesis testing
نویسنده
چکیده
Omnibus tests for various nonparametric hypotheses are developed using the empirical likelihood method. These include tests for symmetry about zero, changes in distribution, independence and exponentiality. The approach is to localize the empirical likelihood using a suitable ‘time’ variable implicit in the null hypothesis and then form an integral of the log-likelihood ratio statistic. The asymptotic null distributions of these statistics are established. In simulation studies, the proposed statistics are found to have greater power than corresponding Cramér–von Mises type statistics.
منابع مشابه
Modified signed log-likelihood test for the coefficient of variation of an inverse Gaussian population
In this paper, we consider the problem of two sided hypothesis testing for the parameter of coefficient of variation of an inverse Gaussian population. An approach used here is the modified signed log-likelihood ratio (MSLR) method which is the modification of traditional signed log-likelihood ratio test. Previous works show that this proposed method has third-order accuracy whereas the traditi...
متن کاملTesting for Stochastic Non- Linearity in the Rational Expectations Permanent Income Hypothesis
The Rational Expectations Permanent Income Hypothesis implies that consumption follows a martingale. However, most empirical tests have rejected the hypothesis. Those empirical tests are based on linear models. If the data generating process is non-linear, conventional tests may not assess some of the randomness properly. As a result, inference based on conventional tests of linear models can b...
متن کاملEmpirical phi-divergence test statistics for testing simple and composite null hypotheses
The main purpose of this paper is to introduce first a new family of empirical test statistics for testing a simple null hypothesis when the vector of parameters of interest are defined through a specific set of unbiased estimating functions. This family of test statistics is based on a distance between two probability vectors, with the first probability vector obtained by maximizing the empiri...
متن کاملOn Bahadur efficiency of empirical likelihood
This paper studies the Bahadur efficiency of empirical likelihood for testing moment condition models. It is shown that under mild regularity conditions, the empirical likelihood overidentifying restriction test is Bahadur efficient, i.e., its p-value attains the fastest convergence rate under each fixed alternative hypothesis. Analogous results are derived for parameter hypothesis testing and ...
متن کاملFull Bayesian Empirical Likelihood Significance Test for Equality Of Medians
This paper discusses the empirical likelihood ratio test for testing equality of medians of two distributions. Yu et al. (2011) proposed four forms of empirical likelihood ratio test for testing this hypothesis and one of them is based on the pooled sample median. The asymptotic distribution of the test statistic as derived in Yu et al (2011) differ from the one obtained in Nimbalkar and Rajars...
متن کامل