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M-test in linear models with negatively superadditive dependent errors
Yuncai Yu1, Hongchang Hu2, Ling Liu3
1State Key Laboratory of Mechanics and Control of Mechanical Structures, Institute of Nano Science and Department of Mathematics, Nanjing University of Aeronautics and Astronautics, Nanjing, 210016 China.
Abstract:
This paper is concerned with the testing hypotheses of regression parameters in linear models in which errors are negatively superadditive dependent (NSD). A robust M-test base on M-criterion is proposed. The asymptotic distribution of the test statistic is obtained and the consistent estimates of the redundancy parameters involved in the asymptotic distribution are established. Finally, some Monte Carlo simulations are given to substantiate the stability of the parameter estimates and the power of the test, for various choices of M-methods, explanatory variables and different sample sizes.
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