A FURTHER COMPARISON OF TESTS OF HYPOTHESES IN LAV REGRESSION

This study compares five alternate test procedures for the significance of coefficients in LAV regression. The WALD and LR tests using the SECI estimator of lambda proposed by McKean and Schrader (Commun. Statist. - Simulation Comput. 13 (1984) p. 751-773) were examined as well as versions of these tests using bootstrap estimates of lambda (BWALD and BLR) and the LM test. There is some evidence that the empirical level of significance for the LM test more nearly conforms to the expected level (5% used in study) than the observed levels do for the other tests. The two tests that appear to perform best in the experiment arc the LR test using the SECI estimator of lambda and the LM test. The bootstrap version of the LR test is computationally more expensive and appears to be no better (and perhaps worse in terms of the empirical size) than the traditional version. The WALD test appears inferior in the computations in either its traditional or bootstrap versions.