The exact power function of an exact test of a regression model against multiple separate alternatives. (English) Zbl 0937.62558
Summary: A common procedure for testing a regression model against separate alternatives is to check the statistical significance of predictions from the latter appended as artificial regressors in the model under test. This paper derives the previously-unknown exact small-sample power function of such a procedure. It is then demonstrated that the procedure is biased in small samples.
MSC:
| 62F03 | Parametric hypothesis testing |
Keywords:
exact tests; separate regressions; power function; doubly-noncentral \(F\) distribution; biasReferences:
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| [4] | Cox, D.R. 1961.Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability. Tests of separate families of hypotheses. 1961. Vol. 1, pp.105–123. · Zbl 0201.52102 |
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