Exact calculations for sequential t, X2 and F tests
نویسندگان
چکیده
منابع مشابه
Exact Distribution for the Generalized F Tests
Generalized F statistics are the quotients of convex combinations of central chi-squares divided by their degrees of freedom. Exact expressions are obtained for the distribution of these statistics when the degrees of freedom either in the numerator or in the denominator are even. An example is given to show how these expressions may be used to check the accuracy of Monte-Carlo methods in tabli...
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F tests which test jointly for a unit root and a zero intercept, and so compete against Dickey−Fuller t tests, are shown not to enhance power because they are invariant to the intercept value in the absence of a unit root. Monte Carlo results in the literature that indicate otherwise are shown to have resulted from the use of special starting values. Testing procedures that employ these F tests...
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ژورنال
عنوان ژورنال: Biometrika
سال: 1991
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/78.1.133