Specification testing when score test statistics are identically zero (Q1820541)
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scientific article; zbMATH DE number 3996973
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Specification testing when score test statistics are identically zero |
scientific article; zbMATH DE number 3996973 |
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Specification testing when score test statistics are identically zero (English)
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1986
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As the examples given in the paper illustrate, the problem of an identically zero score test statistics is not unusual in (econometric) specification testing. This paper provides first a very illustrative introduction and survey to this problem. However, this paper does also more than just motivate; it discusses alternative tests like the likelihood ratio test and the Wald test and introduces a generalized efficient score test. The paper is well written and organized, clear and precise.
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asymptotic efficiency
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Lagrange multiplier test
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C(alpha) test
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identically zero score test statistics
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specification testing
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likelihood ratio test
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Wald test
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generalized efficient score test
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