On improving the robustness and reliability of Rao's score test

DOI10.1016/S0378-3758(00)00351-7zbMath0982.62017MaRDI QIDQ5943799

Chris D. Orme, Leslie G. Godfrey

Publication date: 7 April 2002

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

zbMATH Keywords

bootstraprobustnessscore testsfinite sample corrections

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Robustness and adaptive procedures (parametric inference) (62F35) Asymptotic properties of parametric tests (62F05)

Related Items

The score test for the two‐sample occupancy model, Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results, Robust Misspecification Tests for the Heckman's Two-Step Estimator, Robust density power divergence based tests in multivariate analysis: a comparative overview of different approaches

Uses Software

• bootstrap

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Diagnostics for heteroscedasticity in regression
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Diagnostic testing and evaluation of maximum likelihood models
• The power of bootstrap and asymptotic tests
• A simple derivation of the limited information maximum likelihood estimator
• Small sample properties of alternative forms of the Lagrange multiplier test
• Simulated conditional moment tests
• Third-order asymptotic properties of a class of test statistics under a local alternative
• The size bias of White's information matrix test
• A heteroscedasticity-consistent covariance matrix estimator for time series regressions
• Bootstrap procedures under some non-i.i.d. models
• On moment conditions for valid formal Edgeworth expansions
• Useful invariance results for generalized regression models
• A note on Studentizing a test for heteroscedasticity
• Testing for skewness of regression disturbances
• Canonical ridge and econometrics of joint production
• On the validity of the formal Edgeworth expansion
• Bootstrap methods: another look at the jackknife
• Joint and separate score tests for state dependence and unobserved heterogeneity
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• Glejser's test revisited
• Bootstrap: more than a stab in the dark? With discussion and a rejoinder by the author
• Jackknife, bootstrap and other resampling methods in regression analysis
• Comparison of Bartlett-type adjustments for the efficient score statistic
• Robustness to nonnormality of regression \(F\)-tests
• Some results on the Glejser and Koenker tests for heteroskedasticity
• Misspecification tests and their uses in econometrics
• Bootstrap and wild bootstrap for high dimensional linear models
• Model Specification Tests Based on Artificial Linear Regressions
• Asymptotic Expansions of the Information Matrix Test Statistic
• Specification Tests Based on Artificial Regressions
• A modified score test statistic having chi-squared distribution to order n⁻¹
• Testing for Neglected Heterogeneity
• The Covariance Matrix of the Information Matrix Test
• Pseudo Maximum Likelihood Methods: Theory
• Pseudo Maximum Likelihood Methods: Applications to Poisson Models
• An asymptotic expansion for the null distribution of the efficient score statistic
• Two Stage and Related Estimators and Their Applications
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Implicit Alternatives and the Local Power of Test Statistics
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• A New Form of the Information Matrix Test
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• The Sensitivity of Some General Checks to Omitted Variables in the Linear Model
• Automatic Lag Selection in Covariance Matrix Estimation
• On the corrections to information matrix tests
• On bartlett and bartlett-type corrections francisco cribari-neto
• Asymptotic expansions and the reliability of tests in accelerated failure time models
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• A bootstrap based on the estimating equations of the linear model
• Second order asymptotics for score tests in generalised linear models
• Use of Modified Profile Likelihood for Improved Tests of Constancy of Variance in Regression
• An improved lagrange multiplier test for heteroskedasticity
• Matrix formulae for computing improved score tests
• Bootstrapping time series models
• On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Efficient Estimation of Simultaneous Equation Systems
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Robust Statistics
• Maximum Likelihood Estimation of Misspecified Models
• Maximum Likelihood Estimation of Misspecified Models
• The bootstrap and Edgeworth expansion
• Econometrics
• Tests for the error component model in the presence of local misspecification
• Test statistics arising from quasi likelihood: Bartlett adjustment and higher-order power