TESTS BASED ON MAXIMUM LIKELIHOOD
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1 ESE 5 Toy E. Smth. The Basc Example. TESTS BASED ON MAXIMUM LIKELIHOOD To llustrate the propertes of maxmum lkelhood estmates ad tests, we cosder the smplest possble case of estmatg the mea of the ormal dstrbuto wth kow varace, σ. Gve a radom sample x ( x,.., x ) from a ormal dstrbuto, N(, σ ), we frst derve the maxmum-lkelhood estmate of wth σ kow: (.) x σ L ( x, σ ) l e σ π x l σ π σ ( ) σ l σ π ( x ) So by solvg the frst-order codto for we obta: dl (.) ( x ) x d σ σ σ x ˆ x x
2 ESE 5 Toy E. Smth. Covarace of Maxmum Lkelhood Estmators For ths smple case, t s well kow that the varace of the sample mea, ˆ ( X ) s gve by var( ˆ ) σ /. But by takg the secod dervatve of L wth respect to, ad evaluatg at the true mea value, say we see that (.) dl( ) dl( ) var( ˆ ) d σ d Sce ths case, follows that dl/ d s depedet of the data, σ, so that fact Ed [ L( )/ d ] / ( x,.., x ), t (.) dl( ) var( ˆ ) E ( I ) d where I ( ) s desgated as Fsher Iformato about (ad s see to crease as the varace of the maxmum-lkelhood estmator, ˆ, decreases). Fally, sce the Law of Large Numbers shows ths case that ˆ X for suffcetly large, we may coclude from (.) that (.3) var( ˆ ) I ( ˆ ) More geerally, for ay parameter vector, θ ( θ,.., θ k ), defg a well behaved dstrbuto wth lkelhood fucto, L ( θ ), t ca be show that f θ deotes the true value of θ, the the covarace matrx of the maxmum-lkelhood estmator, ˆ θ, s well approxmated for large by
3 ESE 5 Toy E. Smth ( ) θθ (.3) ˆ E[ L ] cov( θ ) ( θ ) I ( θ ) Moreover, as wth the smple case of the ormal mea above, t ca also be show that ˆ θ s always a cosstet estmator of θ, so that ˆ θ θ for large. Thus as a exteso of (.3) we obta the sample approxmato: (.4) cov( ˆ θ ) I ( ˆ θ ) 3. Wald Tests of Parameters For the smple case of the ormal mea above t follows at oce (from the fact that lear combatos of depedet ormals are ormal) that: (3.) X ~ N(, σ ) Ths tur mples from (.) ad (.) that (3.) ˆ ~ (, ( ˆ N I ) ) More geerally t ca be show that for large the dstrbuto of the geeral maxmum-lkelhood estmator, ˆ θ, defed above s well approxmated by (3.3) ˆ θ ( ˆ ~ N θ, I ( θ) ) where θ aga deotes the true value of θ. Ths forms the bass for all stadard tests of hypotheses about the compoets of θ.
4 ESE 5 Toy E. Smth 4. Lkelhood-Rato Tests of Parameters Aother way to test the hypothess that, say, s the true value of s smply to compare the lkelhood of wth that of the most lkely value, ˆ. If the resultg rato of lkelhood values s close to oe, the ths mples that s a good caddate for the true value of. I terms of log lkelhoods, ths s tur equvalet to a dfferece, L ( ˆ ) L ( ), close to zero. ˆ L ( ) Fgure. Lkelhood Ratos If we observe from (.) that σ (4.) ( ) L ( x, σ ) l σ π ( x ) the ths dfferece ca be evaluated as: (4.) L ( ˆ ) ( ) ( ˆ L x ) ( x ) σ x xx + x x xo + σ ( ) ( ) x x + x x + σ. σ x x + x σ ( )
5 ESE 5 Toy E. Smth Hece t follows that (4.3) x ˆ L [ L ( ) ( )] σ / But uder the ull hypothess that H: t follows that x (4.4) ~ N(,) σ / ad hece by defto that (4.5) x σ / ~ χ Thus we see that uder H : (4.6) [ L ( ˆ ) L ( )] ~ χ More geerally, for ay partto of parameters, θ ( θ, θ ), the ull hypothess, H: θ θ, ca be tested the same way by lettg ˆ θ be defed by the codto, (4.7) L ( θ, ˆ θ ) max L ( θ, θ ) θ ad comparg L ( ˆ θ, ) θ wth the ucostraed maxmum, L ( ˆ θ ). If has k compoets, the uder H we ow have θ (4.8) [ L ( ˆ θ ) L ( θ, ˆ θ )] ~ χ k
6 ESE 5 Toy E. Smth 5. Lagrage Multpler (Score) Tests of Parameters A fal way to test the hypothess that s the true value of s to smply exame the slope of the lkelhood fucto at. If ths slope s close to zero, the t follows (by cotuty) that must be close to, ˆ, ad thus must aga be a good caddate for the true value. Hece oe may smply test whether the slope, L ( ), s sgfcatly dfferet from zero. But by (.) t follows that the score fucto, s( ) L( ) s gve by (5.) ( ) { σ } s ( ) l σ π ( x ) ( ) ( x ) x σ σ σ Hece t follows that ( x ) (5.) ( σ ) s x σ / x / ( ) ~ N(,) σ / As (4.4) ad (4.5) above, ths tur mples that ˆ L ( ) Fgure. Score Fucto
7 ESE 5 Toy E. Smth (5.3) ( ) σ / s ( ) ~ χ Fally, recallg that statstc: ˆ var( ) / σ, we obta the followg score test (5.4) var( ) ( ) ~ χ s where var( ) s formally the varace of ˆ uder the ull hypothess (whch s completely depedet of ths smple case). It s mportat to ote that ths score test s also called a Lagrage multpler test. To see the reaso for ths, observe that fdg the maxmum-lkelhood estmate of uder the ull hypothess,, s formally equvalet to the Lagraga maxmzato problem: (5.5) max ϕ( ) L ( ) + λ( ) wth soluto gve by (5.6) ϕ ( ) λ L (5.7) λϕ By combg these two codtos, we see that the optmal value, ˆλ, of the Lagrage multpler s gve by, (5.8) ˆ λ ( ) L ad thus that the score fucto, s( ) L( ), ca also be terpreted as a Lagrage multpler. However, the above slope terpretato seems to be smpler ad more tutve.
8 ESE 5 Toy E. Smth More geerally, for ay partto of parameters, θ ( θ, θ ), as secto 4 above, the ull hypothess, H: θ θ, ca be tested the same way by aga lettg ˆ θ be defed by (4.7) ad settg ˆ θ ( θ, θ). If θ s of dmeso k, the the score vector, s ( ) θ, also has dmeso k, ad the varace term var( ) (5.4) s ow replaced by the covarace submatrx, cov ( θ ), where (5.9) cov( θ ) cov ( θ ) cov ( θ ) cov ( θ) cov ( θ) If the Fsher formato matrx s gve by (5.) I ( θ ) I ( θ ) I ( θ ) I( θ) I( θ) the t ca easly be show (by parttoed verse dettes) that (5.) cov ( θ ) I ( θ ) [ I ( θ ) I ( θ ) I ( θ ) I ( θ )] so that the followg score test statstc s obtaed as a drect geeralzato of (5.4): (5.) s ( θ ) I ( θ ) s ( θ ) ~ χ k The sgle most mportat feature of ths score test s that t oly requres maxmum-lkelhood estmato uder the ull hypothess,.e.,
9 ESE 5 Toy E. Smth codtoal maxmum-lkelhood estmato of θ gve geerally much easer to calculate. For example, f θ model, or θ λ the SL model, the the remag parameters θ ( βσ, ) are drectly obtaable from OLS. θ θ. Ths s ρ the SAR 6. Mora s I as a Score Test for SAR Oe key feature of score tests for our preset purposes s that the score test statstc for ρ the SAR model turs out to be precsely Mora s I statstc (up to a scale factor). To see ths, observe frst (from secto 8.3 the BULKPACK) that (6.) (,, ) { l ( ) ( ) ρl ρβσ ρ cost+ Bρ yxβ B ρbρ y Xβ} σ { l( ρω ) ( ) ( ) y Xβ B B y Xβ σ } ρ ρ ρ where Bρ I ρw ad where ( ω :,.., ) are the egevalues of W, so that (6.) Wv ω v,,.., To aalyze (6.) we frst assume (for smplcty) that the egevectors (6.) are learly depedet so that the matrx, V ( v :,.., ), s osgular. Hece f Δ deotes the dagoal matrx of egevalues (6.) the by defto, ρ ρ ρ ρ (6.3) Wv [,.., v] [ v,.., v] Δ WV VΔ W VΔV
10 ESE 5 Toy E. Smth Next we observe that f the trace of a matrx A ( a :, j,.., ) s defed by tr( A) a the t follows that for ay matrces, A ( a,.., a ) ad B ( b,.., b ), tr( AB) a ( ) b tr BA. Moreover, sce tr( W ) for all weght matrces, t follows from (6.) ad (6.3) that j (6.4) Δ Δ Δ ω tr( W ) tr( V V ) tr( V V ) tr( ) Hece for the sgle most mportat ull hypothess, ρ, we have ω l( ) ω (6.5) ρ { ρω } ρ ρω ρ ad t follows that (6.) reduces to (6.6) L (,, ) { ( y X ) B B ( y X ) ρ βσ ρ β ρ ρ β} σ ρ {( y X )( I W )( I W)( y X )} σ ρ β ρ ρ β { } σ ρ ρ ρ ( yxβ ) I ρ( W + W) + ρ WW ( y Xβ) { } + + ( y Xβ ) ( W W) ρww ( y Xβ) σ ρ + ( y Xβ )( W W)( y Xβ ) σ { ( ) ( ) + ( ) ( )} y Xβ W y Xβ y Xβ W y Xβ σ. ( y Xβ ) W( y Xβ ) σ
11 ESE 5 Toy E. Smth Hece f we let ˆ ( β ˆ, σ ) deote the OLS estmates of ( β, ˆ σ ) [.e, the maxmum-lkelhood estmates uder the hypothess, ρ ], so that ths case, θ (, ˆ β, ˆ σ ), the the score fucto s gve by: (6.7) s ˆ ˆ ˆ ˆ ( θ) ρl(, β, σ) ˆ ( yxβ) W( y Xβ) σ But f we ow let ˆ ε ˆ y Xβ deote the OLS resduals, so that (6.8) ˆ σ ( yx ˆ β ) ( y X ˆ β ) ˆ ε ˆ ε the (6.7) takes the form; ( ) [ / ˆ ˆ ]( ˆ ) ( ˆ ) (6.9) s θ εε yxβ W y Xβ ˆ W ˆ s ε ε ˆ ε ˆ ε ( θ) where the expresso brackets s precsely Mora s I. To complete the argumet, recall from expresso (77) the BULKPACK that the off-dagoal ( ρ, σ ) term the Fsher formato matrx, I ( θ), s gve by (6.) k k ( ρ ) [ ( ρ ) ] [ ( ρ ] k tr G tr W I W tr W I + W k k ( ρ ρ W k ) tr W + Hece uder the ull hypothess, ρ, t follows that
12 ESE 5 Toy E. Smth (6.) tr( Gρ) ρ tr( W ) But ths mples that I ( θ) s block dagoal, so that ths smple case, (5.7) reduces to (6.) cov ( θ ) I ( θ ) I ( θ ) whch s gve from (77) the BULKPACK by ( ) [ ρ( ρ + ρ] ρ [ ( + )] (6.3) I θ ( ) tr G G G tr W W W Hece the fal score statstc s (6.4) ˆ ε W ˆ ε s( θ) I ( θ) s ( θ) ~ χ tr( WW + WW ) ˆ ε ˆ ε Note also that a equvalet test statstc, whch s proportoal to Mora s I, s obtaed by takg the square root of (6.4): ˆ ε ˆ Wε (6.5) ~ N(,) tr( WW + WW ) ˆ ε ˆ ε
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