Score tests for zero covariances in recursive linear models for grouped or censored data

DOI10.1016/0304-4076(85)90002-8MaRDI QIDQ1067740zbMATH OpenOpenAlexFDO

Authors Andrew Chesher

Publication date 1985

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(85)90002-8

zbMATH Keywords

censored datacorrelated random parameter variationerror covariancegrouped datainformation matrix testnormal linear recursive modelresidualsscore test statisticsimultaneous equations system

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Review text

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.

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Cites work

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Cited in

(2)

• Residual analysis in the grouped and censored normal linear model
• Exogeneity tests in a truncated structural equation

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