Sökning: WFRF:(Petzold Max 1973)
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Maximum Likelihood ...
Maximum Likelihood Ratio based small- sample tests for random coefficients in linear regression
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- Petzold, Max, 1973 (författare)
- Gothenburg University,Göteborgs universitet,Statistiska forskningsenheten,Statistical Research Unit
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- Jonsson, Robert, 1945 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för nationalekonomi med statistik,Department of Economics
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(creator_code:org_t)
- Göteborg, 2003
- Engelska.
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Serie: Working Papers in Economics (online), 1403-2465 ; 102
- Relaterad länk:
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https://gup.ub.gu.se...
Abstract
Ämnesord
Stäng
- Two small-sample tests for random coefficients in linear regression are derived from the Maximum Likelihood Ratio. The first test has previously been proposed for testing equality of fixed effects, but is here shown to be suitable also for random coefficients. The second test is based on the multiple coefficient of determination from regressing the observed subject means on the estimated slopes. The properties and relations of the tests are examined in detail, followed by a simulation study of the power functions. The two tests are found to complement each other depending on the study design: The first test is preferred for a large number of observations from a small number of subjects, and the second test is preferred for the opposite situation. Finally, the robustness of the tests to violations of the distributional assumptions is examined.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Exact test; Hypothesis test; Maximum Likelihood; Pre-test; Random coefficient regression
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