An unbiased test for the appropriateness for the simple linear regression model is presented. The null hypothesis is that the underlying regression function is indeed a line, and the alternative is that it is convex. The exact distribution for a likelihood ration test statistics is that of a mixture of beta random variables, with the mixing distribution calculated from relative volumes of polyhedral convex cones determined by the convex shape restriction. Simulations show that the power of the test is favorable compared with the usual F-test against a quadratic model, for some nonquadratic choices of the underlying regression function.

TR Number: 
2002-19
Mary C. Meyer
Key Words: 
Convex regression, effective dimension, likelihood ration test

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