A Benchmark Table For Significance Test in the Class of Adaptive Regression Model

Abstract

We derive the precise analytic limit of the variance estimator of g, the concentrated ML estimator of gamma-naught in the adaptive regression model, and show that the limit and the original estimator generate virtually identical estimates of the variance of g and the corresponding significance test statistics. Then, based on the limit variance estimator we generate a table for the significance test of g in the adaptive regression model. The table may well be used for the same purpose even in the generalized model where g is extremely robust with respect to alternative specifications of the unknown covariance matrices of the parameter vector.