Score tests for zero covariances in recursive linear models for grouped or censored data
The score test statistic for testing whether an error covariance is zero is derived for a normal linear recursive model for fully observed, censored or grouped data. The test, which is obtained by regarding non- zero error covariances as arising from correlated random parameter variation, is shown to be closely related to the information matrix test. It turns out that the statistic, which is asymptotically N(0,1) under the null, examines the sample covariance of appropriately defined residuals.
scientific article; zbMATH DE number 3930206
scientific article