Abstract #301833

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JSM 2003 Abstract #301833
Activity Number: 412
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 2:00 PM to 3:50 PM
Sponsor: Section on Risk Analysis
Abstract - #301833
Title: Global Validation of Linear Model Assumptions
Author(s): Edsel A. Pena*+ and Elizabeth H. Slate
Companies: University of South Carolina and Medical University of South Carolina
Address: Department of Statistics, Columbia, SC, 29208-0001,
Keywords: model diagnostics ; deletion statistics ; Neyman smooth tests ; outlier detection ; score tests
Abstract:

A test for globally testing the four assumptions of the linear model is proposed. The components of the global test statistic could be utilized to gain insights into which assumptions have been violated if the global procedure indicates that there is a breakdown in at least one of the four assumptions. The procedure could be used in conjunction with the usual graphical procedures, and is simple enough even in elementary statistics courses. The procedure will be demonstrated by analyzing well-known datasets that have been used in previous works dealing with model diagnostics, and a real dataset pertaining to the end-of-trading-day share values of College Retirement and Equities Funds (CREF) accounts. Simulation results will be presented indicating the sensitivity of the procedure in detecting model violations under a variety of situations.

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