Project Fact File

Title: Estimation Under Alternative Test Statistics
Category: statistics
Area: Statistical Inference
No. of units: 1 or 2 or 4
Supervisor: Shahjahan Khan (Staff Profile)
Description:

The preliminary test estimator depends of the choice of the statistic to remove the uncertainty in the prior information as well as the preselected level significance. Three different tests, namely the World (W) Test, Likelihood Ratio (LR) Test and Lagrange Multiplier (LM) Tests, are used in the literature to test many linear hypotheses. The exact distribution of the test statistics are complicated and often researchers use asymptotic equivalent of the test statistics for inferential purposes. The use of the same approximate chi-square test does not have the correct significance level. This causes conflict in the statistical inference. Use of the approximate chi-square test statistic in the definition of the preliminary test estimator causes conflict in the biases and mean squared errors of the estimators. The use of modified test statistic reduces the conflicts to some extent but does not remove it. Edgeworth size corrected test does a lot better job than the modified test to reduce the conflict. This fact has been studied for various models under the framework of improved estimation.

Student: NULL