Specification testing when score test statistics are identically zero
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.
scientific article; zbMATH DE number 3996973
scientific article