The panel data unit root test suggested by Levin and Lin (LL) has been widely used in several applications, notably in papers on tests of the purchasing power parity hypothesis. This test is based on a very restrictive hypothesis which is rarely ever of interest in practice. The Im–Pesaran–Shin (IPS) test relaxes the restrictive assumption of the LL test. This paper argues that although the IPS test has been offered as a generalization of the LL test, it is best viewed as a test for summarizing the evidence from a number of independent tests of the sample hypothesis. This problem has a long statistical history going back to R. A. Fisher. This paper suggests the Fisher test as a panel data unit root test, compares it with the LL and IPS tests, and the Bonferroni bounds test which is valid for correlated tests. Overall, the evidence points to the Fisher test with bootstrap‐based critical values as the preferred choice. We also suggest the use of the Fisher test for testing stationarity as the null and also in testing for cointegration in panel data.
A general formula ( α ) of which a special case is the Kuder-Richardson coefficient of equivalence is shown to be the mean of all split-half coefficients resulting from different splittings of a test. α is therefore an estimate of the correlation between two random samples of items from a universe of items like those in the test. α is found to be an appropriate index of equivalence and, except for very short tests, of the first-factor concentration in the test. Tests divisible into distinct subtests should be so divided before using the formula. The index \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$\bar r_{ij} $$ \end{document} , derived from α , is shown to be an index of inter-item homogeneity. Comparison is made to the Guttman and Loevinger approaches. Parallel split coefficients are shown to be unnecessary for tests of common types. In designing tests, maximum interpretability of scores is obtained by increasing the first-factor concentration in any separately-scored subtest and avoiding substantial group-factor clusters within a subtest. Scalability is not a requisite.
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This chapter presents the basic concepts and results of the theory of testing statistical hypotheses. The generalized likelihood ratio tests that are discussed can be applied to testing in the presence of nuisance parameters. Besides the likelihood ratio tests, for testing in the presence of nuisance parameters one can use conditional tests. The chapter also presents the motivation for steps of the proof of the randomization principle theorem. It considers the case of a single observation, but the extension to the case of n observations will be obvious. The chapter presents an approach that requires unbiasedness and explains how the theory of testing statistical hypotheses is related to the theory of confidence intervals. It reviews the major testing procedures for parameters of normal distributions and is intended as a convenient reference for users rather than an exposition of new concepts or results.
Benjamini and Hochberg suggest that the false discovery rate may be the appropriate error rate to control in many applied multiple testing problems. A simple procedure was given there as an FDR controlling procedure for independent test statistics and was shown to be much more powerful than comparable procedures which control the traditional familywise error rate. We prove that this same procedure also controls the false discovery rate when the test statistics have positive regression dependency on each of the test statistics corresponding to the true null hypotheses. This condition for positive dependency is general enough to cover many problems of practical interest, including the comparisons of many treatments with a single control, multivariate normal test statistics with positive correlation matrix and multivariate $t$. Furthermore, the test statistics may be discrete, and the tested hypotheses composite without posing special difficulties. For all other forms of dependency, a simple conservative modification of the procedure controls the false discovery rate. Thus the range of problems for which a procedure with proven FDR control can be offered is greatly increased.
The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vector of time series x first achieves stationarity after differencing, but a linear combination a'x is already stationary, the time series x are said to be co-integrated with co-integrating vector a. There may be several such co-integrating vectors so that a becomes a matrix. Interpreting a'x,= 0 as a long run equilibrium, co-integration implies that deviations from equilibrium are stationary, with finite variance, even though the series themselves are nonstationary and have infinite variance. The paper presents a representation theorem based on Granger (1983), which connects the moving average, autoregressive, and error correction representations for co-integrated systems. A vector autoregression in differenced variables is incompatible with these representations. Estimation of these models is discussed and a simple but asymptotically efficient two-step estimator is proposed. Testing for co-integration combines the problems of unit root tests and tests with parameters unidentified under the null. Seven statistics are formulated and analyzed. The critical values of these statistics are calculated based on a Monte Carlo simulation. Using these critical values, the power properties of the tests are examined and one test procedure is recommended for application. In a series of examples it is found that consumption and income are co-integrated, wages and prices are not, short and long interest rates are, and nominal GNP is co-integrated with M2, but not M1, M3, or aggregate liquid assets.
One of the frequent questions by users of the mixed model function lmer of the lme4 package has been: How can I get p values for the F and t tests for objects returned by lmer? The lmerTest package extends the 'lmerMod' class of the lme4 package, by overloading the anova and summary functions by providing p values for tests for fixed effects. We have implemented the Satterthwaite's method for approximating degrees of freedom for the t and F tests. We have also implemented the construction of Type I - III ANOVA tables. Furthermore, one may also obtain the summary as well as the anova table using the Kenward-Roger approximation for denominator degrees of freedom (based on the KRmodcomp function from the pbkrtest package). Some other convenient mixed model analysis tools such as a step method, that performs backward elimination of nonsignificant effects - both random and fixed, calculation of population means and multiple comparison tests together with plot facilities are provided by the package as well.
An adjusted rank correlation test is proposed as a technique for identifying publication bias in a meta-analysis, and its operating characteristics are evaluated via simulations. The test statistic is a direct statistical analogue of the popular "funnel-graph." The number of component studies in the meta-analysis, the nature of the selection mechanism, the range of variances of the effect size estimates, and the true underlying effect size are all observed to be influential in determining the power of the test. The test is fairly powerful for large meta-analyses with 75 component studies, but has only moderate power for meta-analyses with 25 component studies. However, in many of the configurations in which there is low power, there is also relatively little bias in the summary effect size estimate. Nonetheless, the test must be interpreted with caution in small meta-analyses. In particular, bias cannot be ruled out if the test is not significant. The proposed technique has potential utility as an exploratory tool for meta-analysts, as a formal procedure to complement the funnel-graph.
Abstract A common concern when faced with multivariate data with missing values is whether the missing data are missing completely at random (MCAR); that is, whether missingness depends on the variables in the data set. One way of assessing this is to compare the means of recorded values of each variable between groups defined by whether other variables in the data set are missing or not. Although informative, this procedure yields potentially many correlated statistics for testing MCAR, resulting in multiple-comparison problems. This article proposes a single global test statistic for MCAR that uses all of the available data. The asymptotic null distribution is given, and the small-sample null distribution is derived for multivariate normal data with a monotone pattern of missing data. The test reduces to a standard t test when the data are bivariate with missing data confined to a single variable. A limited simulation study of empirical sizes for the test applied to normal and nonnormal data suggests that the test is conservative for small samples.
This is a reprint of the orginal book released in 1968. Our primary goal in this book is to sharpen the skill, sophistication, and in- tuition of the reader in the interpretation of mental test data, and in the construction and use of mental tests both as instruments of psychological theory and as tools in the practical problems of selection, evaluation, and guidance. We seek to do this by exposing the reader to some psychologically meaningful statistical theories of mental test scores. Although this book is organized in terms of test-score theories and models, the practical applications and limitations of each model studied receive substantial emphasis, and these discussions are presented in as nontechnical a manner as we have found possible. Since this book catalogues a host of test theory models and formulas, it may serve as a reference handbook. Also, for a limited group of specialists, this book aims to provide a more rigorous foundation for further theoretical research than has heretofore been available.One aim of this book is to present statements of the assumptions, together with derivations of the implications, of a selected group of statistical models that the authors believe to be useful as guides in the practices of test construction and utilization. With few exceptions we have given a complete proof for each major result presented in the book. In many cases these proofs are simpler, more complete, and more illuminating than those originally offered. When we have omitted proofs or parts of proofs, we have generally provided a reference containing the omitted argument. We have left some proofs as exercises for the reader, but only when the general method of proof has already been demonstrated. At times we have proved only special cases of more generally stated theorems, when the general proof affords no additional insight into the problem and yet is substantially more complex mathematically.
Abstract This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend‐ or first‐difference stationary. The proposed tests are based on standard F ‐ and t ‐statistics used to test the significance of the lagged levels of the variables in a univariate equilibrium correction mechanism. The asymptotic distributions of these statistics are non‐standard under the null hypothesis that there exists no level relationship, irrespective of whether the regressors are I (0) or I (1). Two sets of asymptotic critical values are provided: one when all regressors are purely I (1) and the other if they are all purely I (0). These two sets of critical values provide a band covering all possible classifications of the regressors into purely I (0), purely I (1) or mutually cointegrated. Accordingly, various bounds testing procedures are proposed. It is shown that the proposed tests are consistent, and their asymptotic distribution under the null and suitably defined local alternatives are derived. The empirical relevance of the bounds procedures is demonstrated by a re‐examination of the earnings equation included in the UK Treasury macroeconometric model. Copyright © 2001 John Wiley & Sons, Ltd.
This paper presents specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments, and studies the practical performance of these procedures using both generated and real data. The authors' generalized method of moments estimator optimally exploits all the linear moment restrictions that follow from the assumption of no serial correlation in the errors in an equation which contains individual effects, lagged dependent variables, and no strictly exogenous variables. They propose a test of serial correlation based on the generalized method of moments residuals and compare this with Sargan tests of over-identifying restrictions and Hausman specification tests.
We describe here a general Amber force field (GAFF) for organic molecules. GAFF is designed to be compatible with existing Amber force fields for proteins and nucleic acids, and has parameters for most organic and pharmaceutical molecules that are composed of H, C, N, O, S, P, and halogens. It uses a simple functional form and a limited number of atom types, but incorporates both empirical and heuristic models to estimate force constants and partial atomic charges. The performance of GAFF in test cases is encouraging. In test I, 74 crystallographic structures were compared to GAFF minimized structures, with a root-mean-square displacement of 0.26 A, which is comparable to that of the Tripos 5.2 force field (0.25 A) and better than those of MMFF 94 and CHARMm (0.47 and 0.44 A, respectively). In test II, gas phase minimizations were performed on 22 nucleic acid base pairs, and the minimized structures and intermolecular energies were compared to MP2/6-31G* results. The RMS of displacements and relative energies were 0.25 A and 1.2 kcal/mol, respectively. These data are comparable to results from Parm99/RESP (0.16 A and 1.18 kcal/mol, respectively), which were parameterized to these base pairs. Test III looked at the relative energies of 71 conformational pairs that were used in development of the Parm99 force field. The RMS error in relative energies (compared to experiment) is about 0.5 kcal/mol. GAFF can be applied to wide range of molecules in an automatic fashion, making it suitable for rational drug design and database searching.