Alternative forms and properties of the score test

Anil K. Bera; Colin R. Mckenzie

doi:10.1080/02664768600000002

Alternative forms and properties of the score test

Anil K. Bera, Colin R. Mckenzie

Research output: Contribution to journal › Article › peer-review

Abstract

Two different issues relating to the score (S) test are investigated. Firstly, we study the finite sample properties of a number of asymptotically equivalent forms of the S test. From our simulation results we observe that these forms can behave very differently in finite samples. Secondly, we investigate the power properties of the S test and find that it compares favorably to those of the likelihood ratio (LR) test although the former does not use information about the precise forms of the alternatives.

Original language	English (US)
Pages (from-to)	13-25
Number of pages	13
Journal	Journal of Applied Statistics
Volume	13
Issue number	1
DOIs	https://doi.org/10.1080/02664768600000002
State	Published - Jan 1 1986

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1080/02664768600000002

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abstract = "Two different issues relating to the score (S) test are investigated. Firstly, we study the finite sample properties of a number of asymptotically equivalent forms of the S test. From our simulation results we observe that these forms can behave very differently in finite samples. Secondly, we investigate the power properties of the S test and find that it compares favorably to those of the likelihood ratio (LR) test although the former does not use information about the precise forms of the alternatives.",

author = "Bera, {Anil K.} and Mckenzie, {Colin R.}",

note = "Funding Information: We would like to thank Ray Byron, Michael McAleer, Grayham Mizon, Adrian Pagan, Jean Marie Rolin, Deane Terrell and especially Jan Kiviet for helpful comments, Russell Davidson and James MacKinnon for helpful suggestions. Errors, of course, remain our sole responsibility. The second author gratefully acknowledges the financial support provided by the Japanese Government's Department of Education and the research support provided by the Economic Planning Agency. The views and opinions expressed in this paper are not necessarily those of the Economic Planning Agency.",

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N2 - Two different issues relating to the score (S) test are investigated. Firstly, we study the finite sample properties of a number of asymptotically equivalent forms of the S test. From our simulation results we observe that these forms can behave very differently in finite samples. Secondly, we investigate the power properties of the S test and find that it compares favorably to those of the likelihood ratio (LR) test although the former does not use information about the precise forms of the alternatives.

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Alternative forms and properties of the score test

Abstract

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