Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Robust Wald-Ttype Test in Linear Regression

  • Nam, Ho-Soo (Department of Industrial Engineering, Dongseo University, Pusan 617-716)
  • Published : 1997.12.01
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Abstract

In this paper we propose a robust Wald-type test which is based on an efficient Mallows-type one-step GM-estimator. The proposed estimator based on the weight function of Song, Park and Nam (1996) has a bounded influence function and a high breakdown point. Under some regularity conditions, we compute the finite-sample breakdown point, and drive asymptotic normality of the proposed estimator. The level and power breakdown points, influence function and asymptotic distribution of the proposed test statistic are main points of this paper. To compare the performance of the proposed test with other tests, we perform some Monte Carlo simulations.

Keywords

References

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