Monte Carlo hypothesis test
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Dear Matlab users, I want to do a Monte Carlo simulation of a test of a nonlinear hypothesis, my null hypothesis is beta1*beta2=1. I am using the following code:
alpha=1;
beta1=0.5;
beta2=2;
n=100;
m=10;
beta1_hat=zeros(m,1);
for i=1:m
x1=randn(n,1);
x2=randn(n,1);
e=randn(n,1);
y=alpha+beta1*x1+beta2*x2+e;
end
[h,pvalue,ci]=ttest(beta1*beta2,1)
However, when I run the code, I obtain the following: h = NaN pvalue = NaN ci = NaN NaN
I used this code for the hypothesis testing, following this: https://www.mathworks.com/help/stats/hypothesis-testing.html . Another question that I have is why do they divide by 100 price2 in the ttest?
Thanks!
2 Kommentare
Brendan Hamm
am 27 Okt. 2017
beta1*beta2 is a scalar and so is 1 and there are not enough samples to perform any hypothesis test. Are you trying to estimate the beta coefficients from the linear equation? If this is the case, then you likely want to be using y somewhere, which you currently aren't.
M Fernandes
am 27 Okt. 2017
Bearbeitet: M Fernandes
am 28 Okt. 2017
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