Specification testing when score test statistics are identically zero

DOI10.1016/0304-4076(86)90045-XMaRDI QIDQ1820541zbMATH OpenFDO

Authors Lung-fei Lee, Andrew Chesher

Publication date 1986

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

zbMATH Keywords

asymptotic efficiencyWald testlikelihood ratio testspecification testingLagrange multiplier testC(alpha) testgeneralized efficient score testidentically zero score test statistics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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• A stationary point for the stochastic frontier likelihood
• Censored regression models with unobserved, stochastic censoring thresholds
• Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error
• Estimating technical and allocative inefficiency relative to stochastic production and cost frontiers
• Formulation and estimation of stochastic frontier production function models
• Maximum Likelihood Estimation of Misspecified Models
• On asymptotic tests of composite hypotheses in nonstandard conditions
• On asymptotically optimal tests of composite hypotheses
• Testing for Neglected Heterogeneity
• Testing for Sample Selection Bias
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• The Lagrangian Multiplier Test

Cited in

(20)

• Skew-symmetric distributions and Fisher information: the double sin of the skew-normal
• Is a Normal Copula the Right Copula?
• Specification testing with estimated variables
• Identification-robust moment-based tests for Markov switching in autoregressive models
• GMM estimation and uniform subvector inference with possible identification failure
• Inference in second-order identified models
• Efficiency bounds for semiparametric models with singular score functions
• Analysis of time series subject to changes in regime
• Neyman's \({\mathrm C}(\alpha)\) test for unobserved heterogeneity
• Singularity structures and impacts on parameter estimation in finite mixtures of distributions
• Confidence regions near singular information and boundary points with applications to mixed models
• SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
• LM Test of Neglected Correlated Random Effects and Its Application
• Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model
• Neglected heterogeneity in moment condition models
• Specification testing for conditional moment restrictions under local identification failure
• Misspecified structural change, threshold, and Markov-switching models.
• An LM test based on generalized residuals for random effects in a nonlinear model
• Maximum likelihood estimation of stochastic frontier models with endogeneity
• The score test for the two‐sample occupancy model

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