Alternative forms and properties of the score test

Anil K. Bera, Colin R. Mckenzie

Research output: Contribution to journalArticle

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 languageEnglish (US)
Pages (from-to)13-25
Number of pages13
JournalJournal of Applied Statistics
Volume13
Issue number1
DOIs
StatePublished - Jan 1 1986

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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