Linear hypothesis testing in censored regression models. (English) Zbl 1035.62056
Summary: For testing a linear hypothesis in a censored regression (or censored “Tobit”) model, three test criteria and four test statistics based on least absolute deviation estimates of the parameters are proposed and their limiting chi-square distributions are established. Some consistent estimates of nuisance parameters are obtained for use in computing the test statistics. A simulation study for small sample performance of these test statistics is made by using iterative linear programming.
MSC:
62H15 | Hypothesis testing in multivariate analysis |
62H20 | Measures of association (correlation, canonical correlation, etc.) |
62J05 | Linear regression; mixed models |