One-sided tests for independence of seemingly unrelated regression equations

Authors:
Hiroshi Kurata
Affiliations:
Graduate School of Arts and Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8902, Japan
Venue:
Journal of Multivariate Analysis
Year:
2004

Citing 4
Cited 1

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Modern multivariate statistical analysis, a graduate course and handbook
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Bayesian inference for the correlation coefficient in two seemingly unrelated regressions

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Abstract

In a seemingly unrelated regression model with p(≥ 2) equations, this paper considers the problem of testing independence of equations against a one-sided alternative hypothesis. The power functions of invariant tests are evaluated and the locally most mean powerful invariant test is obtained.