Ciclo de seminários do Programa de Pós-Graduação em Matemática Aplicada e Estatística da UFRN - 2017

Ciclo de seminários do Programa de Pós-Graduação em Matemática Aplicada e
Estatística da UFRN - 2017


Título: Improved heteroskedasticity likelihood ratio tests in symmetric
nonlinear regression models


Palestrante: Profª Drª. Mariana Correia De Araujo - UFRN

Quando: 11 de agosto de 2017, sexta-feira, às 14:00h.

Onde: Sala de Seminários da Estatística – CCET- UFRN

Resumo.  In this paper we address the issue of testing inference of the
dispersion parameter in heteroscedastic symmetric nonlinear regression models
considering small samples. We derive  Bartlett corrections to improve the
likelihood ratio as well modified profile likelihood ratio tests. We also
present the bootstrap and bootstrap Bartlett corrected likelihood ratio tests.
Monte Carlo simulations are carried out to compare the finite sample
performances of the three corrected tests and their uncorrected versions. The
numerical evidence shows that the corrected modified profile likelihood ratio
test, the bootstrap and bootstrap Bartlett corrected likelihood ratio test
perform better than the other ones. We also present an empirical application.
Notícia cadastrada em: 04/04/2017 11:21
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