testcoef.stenv: Hypothesis test of the coefficients of the simultaneous...

View source: R/testcoef.stenv.R

testcoef.stenvR Documentation

Hypothesis test of the coefficients of the simultaneous envelope model


This function tests the null hypothesis L * beta * R = A versus the alternative hypothesis L * beta * R ~= A, where beta is estimated under the simultaneous envelope model.


testcoef.stenv(m, L, R, A)



A list containing estimators and other statistics inherited from stenv.


The matrix multiplied to beta on the left. It is a d1 by p matrix, while d1 is less than or equal to p.


The matrix multiplied to beta on the right. It is an r by d2 matrix, while d2 is less than or equal to r.


The matrix on the right hand side of the equation. It is a d1 by d2 matrix.

Note that inputs L, R and A must be matrices, if not, use as.matrix to convert them.


This function tests for hypothesis H0: L beta R = A, versus Ha: L beta R != A. The beta is estimated by the simultaneous envelope model. If L = Ip, R = Ir and A = 0, then the test is equivalent to the standard F test on if beta = 0. The test statistic used is vec(L beta R - A) hatSigma^-1 vec(L beta R - A)^T, where beta is the envelope estimator and hatSigma is the estimated asymptotic covariance of vec(L beta R - A). The reference distribution is chi-squared distribution with degrees of freedom d1 * d2.


The output is a list that contains following components.


The test statistic.


The degrees of freedom of the reference chi-squared distribution.


p-value of the test.


The covariance matrix of vec(L beta R).


X <- fiberpaper[ , 5:7]
Y <- fiberpaper[ , 1:4]
m <- stenv(X, Y, 2, 3)

L <- diag(3)
R <- as.matrix(c(1, 0, 0, 0), nrow = 4)
A <- matrix(0, 3, 1)

test.res <- testcoef.stenv(m, L, R, A)

Renvlp documentation built on Aug. 8, 2022, 1:06 a.m.