Nonlinear models, rescaling and test invariance

DOI10.1016/0378-3758(92)90155-LzbMath0757.62005OpenAlexW2074090056MaRDI QIDQ1200018

Marcel G. Dagenais, Jean-Marie Dufour

Publication date: 17 January 1993

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(92)90155-l

zbMATH Keywords

likelihood ratio testrescalingnonlinear modelsWald testequivarianceinvariance propertiesregression modelstransformation groupsLagrange multiplier testnull hypothesisBox-Cox transformationsHausman-type testsmodel formchanging measurement unitsconsistent estimators of the information matrixNeyman's \(C\)(alpha) tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Foundations and philosophical topics in statistics (62A01) Asymptotic properties of parametric tests (62F05)

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TESTING MODEL SPECIFICATION IN SEEMINGLY UNRELATED REGRESSION MODELS ⋮ Invariance, Nonlinear Models, and Asymptotic Tests ⋮ Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Invariance and the Wald test ⋮ Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence ⋮ Invariant tests based onM-estimators, estimating functions, and the generalized method of moments

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