The Concept of Stringency for Test Comparison: The Case of a Cauchy Location Parameter

Yıl 2017, Cilt: 9 Sayı: 1, 1 - 20, 03.04.2017

Atiq Rehman Arif Zaman Asad Zaman

https://doi.org/10.33818/ier.319909

Cited By: 2

Öz

Strategies for comparison of alternative tests do not receive much attention in
econometrics. The purpose of this paper is to introduce the concept of stringency and
illustrate it in the context of a very simple hypothesis testing problem. Systematic use of
this concept can be very helpful in evaluating relative performance of tests. 

Anahtar Kelimeler

Power Envelope, Location Parameter, Stringent Test

Kaynakça

• Durbin, J. and G. S. Watson (1950). Testing for Serial Correlation in Least Squares Regression. I. Biometrika, 37 (3-4), 409–428.
• Durbin, J. and G. S. Watson (1951). Testing for Serial Correlation in Least Squares Regression. II. Biometrika, 38 (1-2), 159–178.
• Islam, T. U. (2017). Stringency-based ranking of normality tests”. Communications in Statistics - Simulation and Computation, 46 (1), 655–668.
• Khan, A. I. (2017). Theoretical and Empirical Comparisons of CoIntegration Tests. PhD thesis. International Islamic University of Islamabad, Pakistan.
• Lehmann, E. L. and P. R. Joseph (2005). Testing Statistical Hypotheses. Springer Texts in Statistics. New York, NY: Springer Science & Business Media, Inc. Springer e-books. ISBN: 978-0-387-27605-2.
• Zaman, A. (1996). Statistical Foundations for Econometric Techniques. Academic Press.