SECOND-ORDER ASYMPTOTICS FOR SCORE TESTS IN HETEROSKEDASTICtREGRESSION MODELS

DOI10.1081/STA-120013009zbMath1022.62016MaRDI QIDQ4792108

Lúcia P. Barroso, Klaus L. P. Vasconcellos, Gauss M. Cordeiro

Publication date: 11 February 2003

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

Bartlett-type correctionmaximum likelihood estimateheteroskedastic modellink functiondispersion parameterChi-squared distributionStudent \(t\) model

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

Related Items (4)

Improved chi-squared tests for a composite hypothesis ⋮ Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors ⋮ Corrected maximum likelihood estimators in heteroscedastic symmetric nonlinear models ⋮ Heteroscedastic symmetrical linear models

Cites Work

• The Delta Algorithm and GLIM
• An asymptotic expansion for the null distribution of the efficient score statistic
• Second order asymptotics for score tests in generalised linear models
• Unnamed Item

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