A Note on Using an Unbiased Weight Matrix in the ADF Test Statistic.

Chan, Wai; And Others

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Peer reviewed

ERIC Number: EJ522372

Record Type: Journal

Publication Date: 1995

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ISSN: ISSN-0027-3171

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A Note on Using an Unbiased Weight Matrix in the ADF Test Statistic.

Chan, Wai; And Others

Multivariate Behavioral Research, v30 n4 p453-59 1995

It is suggested that using an unbiased estimate of the weight matrix may eliminate the small or intermediate sample size bias of the asymptotically distribution-free (ADF) test statistic. Results of simulations show that test statistics based on the biased estimator or the unbiased estimate are highly similar. (SLD)

Descriptors: Equations (Mathematics), Estimation (Mathematics), Matrices, Sample Size, Simulation, Statistical Bias, Statistical Distributions, Test Construction

Publication Type: Reports - Evaluative; Journal Articles

Education Level: N/A

Audience: N/A

Language: English

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