Paper Info
Title
On the sensitivity of the one-sided t test to covariance misspecification
Abstract
Sensitivity analysis stands in contrast to diagnostic testing in that sensitivity analysis aims to answer the question of whether it matters that a nuisance parameter is non-zero, whereas a diagnostic test ascertains explicitly if the nuisance parameter is different from zero. In this paper, we introduce and derive the finite sample properties of a sensitivity statistic measuring the sensitivity of the t statistic to covariance misspecification. Unlike the earlier work by Banerjee and Magnus [A. Banerjee, J.R. Magnus, On the sensitivity of the usual t- and F-tests to covariance misspecification, Journal of Econometrics 95 (2000) 157-176] on the sensitivity of the F statistic, the theorems derived in the current paper hold under both the null and alternative hypotheses. Also, in contrast to Banerjee and Magnus' [see the above cited reference] results on the F test, we find that the decision to accept the null using the OLS based one-sided t test is not necessarily robust against covariance misspecification and depends much on the underlying data matrix. Our results also indicate that autocorrelation does not necessarily weaken the power of the OLS based t test.
Year
DOI
Venue
2009
10.1016/j.jmva.2009.01.003
J. Multivariate Analysis
Keywords
Field
DocType
sensitivity statistic,sensitivity,diagnostic test,linear regression,power,f test,current paper hold,62h10,nuisance parameter,j.r. magnus,diagnostic testing,ar(1),sensitivity analysis,62h15,f statistic,ma(1),covariance misspecification,rule of thumb,size,ar 1
Econometrics,Autoregressive model,Nuisance parameter,Statistic,F-test,t-statistic,Statistics,Mathematics,Statistical hypothesis testing,Autocorrelation,Covariance
Journal
Volume
Issue
ISSN
100
8
Journal of Multivariate Analysis
Citations 
PageRank 
References 
1
0.99
0
Authors
3
Name
Order
Citations
PageRank
Huaizhen Qin1115.31
Alan T. K. Wan2145.28
Guohua Zou3125.72