Tests of linear hypotheses based on regression rank scores
Authors:
C. Gutenbrunner a;
J. Jure
kov
b;
R. Koenker c;
S. Portnoy c
kov
b;
R. Koenker c;
S. Portnoy c
| Affiliations: | a Philipps Universit t, Marburg, Germany |
| b Charles University, Prague, Czechoslovakia | |
| c University of Illinois, Urbana-Champaign, USA |
DOI:
10.1080/10485259308832561
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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Abstract
We propose a general class of asymptotically distribution-free tests of a linear hypothesis in the linear regression model. The tests are based on regression rank scores, recently introduced by Gutenbrunner and Jureckov
(1992) as dual variables to the regression quantiles of Koenker and Bassett (1978). Their properties are analogous to those of the corresponding rank tests in location model. Unlike the other regression tests based on aligned rank statistics, however, our tests do not require preliminary estimation of nuisance parameters, indeed they are invariant with respect to a regression shift of the nuisance parameters.
|
| Keywords: Ranks; regression quantiles; regression rank scores |
| AMS 1980 subject classification: 62G10; 62J10 |
| view references (33) |

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