A small-sample correction for the likelihood ratio test

Italianer, Alexander

doi:10.1016/0165-1765(85)90226-5

Cited by 52 publications

(17 citation statements)

References 2 publications

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“…Furthermore, simulation studies [e.g., Ohtani and Toyoda (1985), Frydenberg and Jensen (1989), Hollas (1991), Rocke (1989), Wong (1989Wong ( , 1991 and Gonzalo and Pitarakis (1994)] suggest that in many instances Bartlett adjustments do not work well. A simpler correction factor is proposed by Italianer (1985), but the procedure is rather heuristic and has little theoretical background.…”

Section: Introductionmentioning

confidence: 99%

Simulation based finite and large sample tests in multivariate regressions

Dufour

Khalaf

2002

Journal of Econometrics

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CIRANOLe CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisationsmembres, d'une subvention d'infrastructure du ministère de la Recherche, de la Science et de la Technologie, de même que des subventions et mandats obtenus par ses équipes de recherche. CIRANO is a private non-profit organization incorporated under the Résumé / AbstractDans le contexte des modèles de régression multivariés (MLR), il est bien connu que les tests asymptotiques usuels tendent à rejeter trop souvent les hypothèse considérées. Dans cet article, nous proposons une méthode générale qui permet de construire des tests exacts pour des hypothèses possiblement non linéaires sur les coefficients de tels modèles. Pour le cas des hypothèse uniformes linéaires, nous présentons des résultats sur la distribution exacte de plusieurs statistiques de test usuelles. Ces dernières incluent le critère du quotient de vraisemblance (Wilks), de même que les critères de la trace et de la racine maximale. L'hypothèse de normalité des erreurs n'est pas requise pour la plupart des résultats présentés. Ceux-ci ont deux types de conséquences pour l'inférence statistique. Premièrement, l'invariance par rapport aux paramètres de nuisance signifie que l'on peut appliquer la technique des tests de Monte Carlo afin de construire des tests exacts pour les hypothèses uniformes linéaires. Deuxième-ment, nous montrons comment exploiter cette propriété afin d'obtenir des bornes sans paramètres de nuisance sur la distribution des statistiques de quotient de vraisemblance pour des hypothèses générales. Même si les bornes ne sont pas faciles à calculer par des moyens analytiques, on peut les simuler aisément et ainsi effectuer des tests de Monte Carlo à bornes. Nous présentons une expérience de simulation qui montre que ces bornes sont suffisamment serrées pour fournir des résultats concluants avec une forte probabilité. Nos résultats démontrent la valeur de ces bornes comme instrument à utiliser conjointement avec des méthodes d'inférence simulée plus traditionnelles (telles que le bootstrap paramétrique) que l'on peut appliquer lorsque le test à borne n'est pas concluant.

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Section: Introductionmentioning

confidence: 99%

Simulation based finite and large sample tests in multivariate regressions

Dufour

Khalaf

2002

Journal of Econometrics

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“…Likelihood ratio tests failed to reject both strong and product form separability at the 0.01 significance level; however, both were rejected at the 0.05 significance level. Moschini and colleagues (1994) note that LR tests are biased toward rejection, particularly for large demand systems, and suggest a test correction proposed by Italianer (1985). Although this correction did increase the p-values for each test, strong separability and product form separability were still rejected at the 0.05 significance level.…”

Section: Empirical Results and Discussionmentioning

confidence: 88%

The importance of product cut and form when estimating fish demand: the case of U.S. Catfish

Muhammad

Hanson

2009

Agribusiness

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The absolute price version of the Rotterdam model was used in the estimation of U.S. catfish demand where catfish was differentiated by product cut (whole, fillet, and other) and product form (fresh and frozen). Likelihood ratio tests were used to determine the importance of product form in demand (product form aggregation). Likelihood ratio tests were also used to determine if fresh products were separable from frozen products (product form separability). Product form aggregation was rejected at a probability of 0.999, suggesting that fresh and frozen catfish products are not homogenous. The hypothesis, no product form separability, failed to be rejected at the 0.05 significance level, but was rejected at the 0.01 significance level. Test results suggest that it is more acceptable to focus on a single product group (e.g., frozen products) than to assume that catfish products are perfectly aggregatable across product forms. [JEL classifications: Q11, Q13, Q22]. © 2009 Wiley Periodicals, Inc.

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“…Apesar de não existir uma forma inequívoca de se ajustar o teste LR de modo a atenuar tal viés, Moschini et al (1994) verificam que o ajuste proposto por Italianer (1975) apresenta bom desempenho quando aplicado a sistemas não lineares de equações de demanda. A estatís-tica do teste LR ajustado de Italianer (1975) é:…”

Section: Testes De Hipóteses E Seleção Do Modelo Preferidounclassified

Crises de Segurança do Alimento e a Demanda por Carnes no Brasil

Filho

Souza

Lima³

2016

Rev. Econ. Sociol. Rural

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Resumo: Investiga-se se crises de segurança do alimento deslocam para baixo as demandas por carne bovina, suína e de frango no Brasil. Constroem-se três séries de índices de crises de segurança do alimento, um para cada tipo de carne, somando-se o total de notícias na Folha de São Paulo que atenderam a critérios predefinidos de busca. Utilizam-se estas três séries, os preços das carnes e de um bem composto e o gasto per capita com consumo como variáveis explicativas em seis especificações alternativas de um sistema de quatro equações de demanda. Seleciona-se a melhor especificação do modelo por meio de testes ajustados de razão de verossimilhança. Testes com o modelo selecionado não rejeitam a hipótese de que as demandas não são afetadas por crises de segurança do alimento. Conclui-se que se deslocamentos da demanda para baixo em reação a crises de segurança do alimento criam incentivos para que as empresas adotem medidas para produzir um alimento mais seguro, tais incentivos não existem nos setores de carnes no Brasil. Assim, reforça-se a importância e necessidade de um sistema público ativo para regulamentar e estabelecer padrões de segurança da carne no Brasil. Palavras-chaves:

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A small-sample correction for the likelihood ratio test

Cited by 52 publications

References 2 publications

Simulation based finite and large sample tests in multivariate regressions

Simulation based finite and large sample tests in multivariate regressions

The importance of product cut and form when estimating fish demand: the case of U.S. Catfish

Crises de Segurança do Alimento e a Demanda por Carnes no Brasil

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