Table 1 (continued)
Joint Tests for H0; A = σ2μ = 0
Frequency of Rejections in 2000 Replications
Weight Matrix is QUEEN
|
N, T |
A |
LM H |
½ = 0:0 |
LRJj |
LM H |
½ = 0:2 |
LRJj |
LM H |
½ = 0:5 |
LRJj |
|
25, 3 |
0.0 |
0.020 |
0.029 |
0.064 |
0.216 |
0.344 |
0.372 |
0.822 |
0.955 |
0.958 |
|
0.1 |
0.059 |
0.067 |
0.066 |
0.301 |
0.369 |
0.380 |
0.864 |
0.962 |
0.967 | |
|
0.2 |
0.112 |
0.151 |
0.140 |
0.375 |
0.402 |
0.411 |
0.902 |
0.967 |
0.968 | |
|
0.3 |
0.229 |
0.299 |
0.282 |
0.510 |
0.505 |
0.519 |
0.932 |
0.977 |
0.981 | |
|
0.4 |
0.379 |
0.536 |
0.514 |
0.638 |
0.608 |
0.650 |
0.954 |
0.973 |
0.984 | |
|
0.5 |
0.576 |
0.748 |
0.743 |
0.786 |
0.764 |
0.806 |
0.970 |
0.983 |
0.992 | |
|
0.6 |
0.771 |
0.895 |
0.891 |
0.903 |
0.899 |
0.923 |
0.985 |
0.990 |
0.995 | |
|
0.7 |
0.916 |
0.975 |
0.974 |
0.970 |
0.973 |
0.980 |
0.997 |
0.993 |
1.000 | |
|
0.8 |
0.972 |
0.997 |
0.997 |
0.992 |
0.992 |
0.996 |
0.999 |
0.999 |
0.999 | |
|
0.9 |
0.999 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 | |
|
25, 7 |
0.0 |
0.040 |
0.042 |
0.056 |
0.782 |
0.893 |
0.876 |
1.000 |
1.000 |
1.000 |
|
0.1 |
0.109 |
0.131 |
0.117 |
0.870 |
0.920 |
0.904 |
1.000 |
1.000 |
1.000 | |
|
0.2 |
0.226 |
0.337 |
0.317 |
0.937 |
0.936 |
0.932 |
1.000 |
1.000 |
1.000 | |
|
0.3 |
0.493 |
0.679 |
0.646 |
0.964 |
0.956 |
0.951 |
1.000 |
1.000 |
1.000 | |
|
0.4 |
0.772 |
0.893 |
0.883 |
0.995 |
0.990 |
0.989 |
1.000 |
1.000 |
1.000 | |
|
0.5 |
0.937 |
0.987 |
0.987 |
0.999 |
0.999 |
0.999 |
1.000 |
1.000 |
1.000 | |
|
0.6 |
0.997 |
0.999 |
0.999 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 | |
|
49, 3 |
0.0 |
0.029 |
0.032 |
0.057 |
0.406 |
0.6070 |
0.622 |
0.990 |
1.000 |
1.000 |
|
0.1 |
0.094 |
0.108 |
0.100 |
0.552 |
0.6380 |
0.636 |
0.992 |
1.000 |
1.000 | |
|
0.2 |
0.212 |
0.259 |
0.232 |
0.719 |
0.7140 |
0.716 |
0.998 |
1.000 |
1.000 | |
|
0.3 |
0.392 |
0.546 |
0.517 |
0.811 |
0.7860 |
0.804 |
0.999 |
1.000 |
1.000 | |
|
0.4 |
0.641 |
0.797 |
0.782 |
0.915 |
0.8890 |
0.901 |
0.999 |
1.000 |
1.000 | |
|
0.5 |
0.862 |
0.959 |
0.953 |
0.972 |
0.9650 |
0.973 |
1.000 |
1.000 |
1.000 | |
|
0.6 |
0.968 |
0.991 |
0.993 |
0.993 |
0.9940 |
0.995 |
1.000 |
1.000 |
1.000 | |
|
0.7 |
1.000 |
1.000 |
1.000 |
1.000 |
0.9990 |
1.000 |
1.000 |
1.000 |
1.000 | |
|
49, 7 |
0.0 |
0.052 |
0.056 |
0.056 |
0.961 |
0.994 |
0.995 |
1.000 |
1.000 |
1.000 |
|
0.1 |
0.156 |
0.167 |
0.153 |
0.989 |
0.993 |
0.995 |
1.000 |
1.000 |
1.000 | |
|
0.2 |
0.419 |
0.566 |
0.536 |
0.998 |
0.998 |
0.996 |
1.000 |
1.000 |
1.000 | |
|
0.3 |
0.775 |
0.908 |
0.899 |
1.000 |
1.000 |
0.999 |
1.000 |
1.000 |
1.000 | |
|
0.4 |
0.961 |
0.995 |
0.994 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 | |
|
0.5 |
0.992 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 | |
|
0.6 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
1.000 |
12