Testing for Normality in the Linear Regression Model: an Empirical Likelihood Ratio Test
نویسندگان
چکیده
Author Contact: Lauren Dong, Statistics Canada; e-mail: [email protected]; FAX: (613) 951-3292 David Giles*, Dept. of Economics, University of Victoria, P.O. Box 1700, STN CSC, Victoria, B.C., Canada V8W 2Y2; e-mail: [email protected]; FAX: (250) 721-6214 * Corresponding co-author Abstract The empirical likelihood ratio (ELR) test for the problem of testing for normality in a linear regression model is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are explored and analyzed using Monte Carlo simulation. The ELR test has good power properties against various alternative hypotheses.
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تاریخ انتشار 2004