Constrained test in linear models with multivariate power exponential distribution

Abstract

We investigate the problem of testing equality and inequality constraints on regression coefficients in linear models with multivariate power exponential (MPE) distribution. This distribution has received considerable attention in recent years and provides a useful generalization of the multivariate normal distribution. We examine the performance of the power of the likelihood ratio, Wald and Score tests for grouped data and in the presence of regressors, in small and moderate sample sizes, using Monte Carlo simulations. Additionally, we present a real example to illustrate the performance of the proposed tests under the MPE model.