Proposed Distance-Based Test for Testing Multivariate Multiple Regression Coefficients under Restricted Alternatives

Abstract

In constructing estimation and hypothesis testing procedures, it is important that all available information such as sign of parameter is used in order to maximize power of the test. Often prior information are known about the sign of regression coefficients (parameter) under test, the best example being that variances cannot be negative. Ignoring information about the signs of regression parameters can lead to loss of power in small samples. With this problem in mind, this paper concerned with developing restricted estimation and hypothesis testing approach in the context of multivariate multiple regression model. Developing the technique of estimating constraint regression coefficients and testing restricted parameters with the aid of information theoretic distance are the main contribution of this paper. The distribution of the existing two-sided test follows central chi-square distribution whereas the test statistic of our proposed distance-based one-sided test follows weighted mixture of chi-square distribution. Monte Carlo simulation indicates that our newly proposed test performs better than existing tests.