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A Note on the Bias of O'Brien's OLS Test |
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| Authors: | Hans Frick |
| Abstract: | O'Brien's Ordinary Least Squares (OLS) test is a well known procedure for testing the multivariate one-sided hypothesis when the covariance matrix is unknown. Simulation results have been reported where the actual test level exceeds the nominal one. Here it is shown analytically that the actual level is always larger than the nominal one if the covariance matrix is nonnegative. |
| Keywords: | Ordinary Least Squares test Level exceedance |