A Robust Generalization of the Rao Test

Article Type

Research Article

Publication Title

Journal of Business and Economic Statistics

Abstract

This article presents new families of Rao-type test statistics based on the minimum density power divergence estimators which provide robust generalizations for testing simple and composite null hypotheses. The asymptotic null distributions of the proposed tests are obtained and their robustness properties are also theoretically studied. Numerical illustrations are provided to substantiate the theory developed. On the whole, the proposed tests are seen to be excellent alternatives to the classical Rao test as well as other well-known tests.

First Page

868

Last Page

879

DOI

10.1080/07350015.2021.1876711

Publication Date

1-1-2022

Comments

Open Access, Green

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