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A Test of the Mean Square Error Criterion for Restrictions in Linear Regression

1968; Volume: 63; Issue: 322 Linguagem: Inglês

10.1080/01621459.1968.11009275

1537-274X

Carlos Toro-Vizcarrondo, T. D. Wallace,

Spectroscopy and Chemometric Analyses

The objectives of this paper are to examine the mean square error criterion for rejecting or adopting restrictions on the parameter space in a regression model, and to develop a uniformly most powerful testing procedure for the criterion. We present a tabulation of critical points for the test for one restriction and selected points of the power function. The mean square error criterion suggests a framework for thinking about the problem of multicollinearity in a linear model. To this end we present some examples to illustrate the linkage of the mean square error criterion with multicollinearity.