Robust Wald-type tests based on minimum Rényi pseudodistance estimators for the multiple linear regression model

We introduce a new family of Wald-type tests, based on minimum Rényi pseudodistance estimators, for testing general linear hypotheses and the variance of the residuals in the multiple regression model. The classical Wald test, based on the maximum likelihood estimator, can be seen as a particular case inside our family. Theoretical results, supported by an extensive simulation study, point out how some tests included in this family have a better behaviour, in the sense of robustness, than the Wald test. Finally, we provide a data-driven procedure for the choice of the optimal test given any data set.Depto. de Economía Financiera y Actuarial y EstadísticaDepto. de Estadística e Investigación OperativaFac. de Ciencias Económicas y EmpresarialesFac. de Ciencias MatemáticasFALSEpu