skip to main content skip to footer

Large Sample Tests for Comparing Regression Coefficients in Models With Normally Distributed Variables

von Davier, Alina A.
Publication Year:
Report Number:
ETS Research Report
Document Type:
Page Count:
Subject/Key Words:
Nonlinear Hypothesis, Multivariate Normal Regressors, Efficient Score Test, Wald Test, Likelihood Ratio Test


The goal of the simulations is to check the distributions of the three statistics for finite sample sizes and at a stationary point of the null hypothesis. Another aim is to compare the empirical values of the three statistics to one another, for different parameter constellations. It is shown that all three statistics present deviations from the expected chi-squared distribution at this special parameter point. However, any of the three statistical tests might be used for testing the hypothesis of the invariance of the regression coefficients since they remain asymptotically conservative at the stationary points of the null hypothesis.

Read More