Specification testing when score test statistics are identically zero
type: Item
instance of: scholarly article
title: Specification testing when score test statistics are identically zero
zbMATH Open document ID: 0615.62146
DOI: 10.1016/0304-4076(86)90045-X
author: Lung-fei Lee
author: Andrew Chesher
published in: Journal of Econometrics
publication date: 1986-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 3996973
zbMATH Keywords: asymptotic efficiency
zbMATH Keywords: Lagrange multiplier test
zbMATH Keywords: C(alpha) test
zbMATH Keywords: identically zero score test statistics
zbMATH Keywords: specification testing
zbMATH Keywords: likelihood ratio test
zbMATH Keywords: Wald test
zbMATH Keywords: generalized efficient score test
reviewed by: Georg Hasenkamp
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 3996973