Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results

DOI10.1016/S0378-3758(00)00343-8zbMath1053.62023OpenAlexW1986072104WikidataQ56765258 ScholiaQ56765258MaRDI QIDQ5943791

Yannis Bilias, Anil K. Bera

Publication date: 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(00)00343-8

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Diagnostics, and linear inference and regression (62J20)

Related Items

Subgraph network random effects error components models: specification and testing ⋮ Asymptotic expansions for the estimators of Lagrange multipliers and associated parameters by the maximum likelihood and weighted score methods ⋮ Network ANOVA random effects models for node attributes ⋮ General and feasible tests with multiply-imputed datasets ⋮ Testing for heteroskedasticity and serial correlation in a random effects panel data model ⋮ Optimal Method for Realizing Two-Sided Inferences About a Linear Combination of Two Proportions ⋮ Testing for random effects and serial correlation in spatial autoregressive models ⋮ Goodness of fit tests of the two-parameter gamma distribution against the three-parameter generalized gamma distribution ⋮ Neyman's C(α) test for the shape parameter of the exponential power class ⋮ Adjustments of Rao's score test for distributional and local parametric misspecifications ⋮ Dr C R Rao's contributions to the advancement of economic science ⋮ A test for detecting etiologic heterogeneity in epidemiological studies ⋮ Simultaneous Confidence Intervals for Comparing Binomial Parameters ⋮ A simple spatial dependence test robust to local and distributional misspecifications ⋮ Testing for serial correlation in hierarchical linear models ⋮ New goodness-of-fit tests for the error distribution of autoregressive time-series models ⋮ Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty ⋮ The Pearson Score Statistic for Multinomial-Poisson Models ⋮ Two score and 10 years of score tests ⋮ Rao's score test with nonparametric density estimators ⋮ Data-driven smooth tests for a location-scale family revisited ⋮ Testing for independence in J×K contingency tables with complex sample survey data ⋮ A new method of projection-based inference in GMM with weakly identified nuisance parameters ⋮ Robust Misspecification Tests for the Heckman's Two-Step Estimator ⋮ Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence ⋮ A SMOOTH TEST FOR THE EQUALITY OF DISTRIBUTIONS ⋮ An efficient and flexible multiplicity adjustment for chi-square endpoints ⋮ Inference in a structural heteroskedastic calibration model ⋮ MTests with a New Normalization Matrix ⋮ Invariant tests based onM-estimators, estimating functions, and the generalized method of moments ⋮ The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing normality in econometric models
• Small sample properties of alternative forms of the Lagrange multiplier test
• An asymptotic derivation of Neyman's \(C(\alpha)\) test
• A Lagrange multiplier test for GARCH models
• Nonlinear models, rescaling and test invariance
• On the corrections to the Wald test of nonlinear restrictions
• A conversation with C. R. Rao
• R. A. Fisher and multivariate analysis
• Asymptotically uniformly most powerful tests in parametric and semiparametric models
• Tests based on score statistics: Power properties and related results
• Goodness-of-Fit Tests for Log-Linear Models in Sparse Contingency Tables
• On Large-Sample Estimation and Testing in Parametric Models
• The Lagrangian Multiplier Test
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Alternative forms of the wald test: how long is a piece of string?
• On the Formulation of Wald Tests of Nonlinear Restrictions
• Alternative Asymptotically Optimal Tests and Their Application to Dynamic Specification
• Testing the specification of a fitted autoregressive-moving average model
• Some Large-Sample Tests for Nonnormality in the Linear Regression Model
• A simple test for normality against asymmetric alternatives
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Invariance, Nonlinear Models, and Asymptotic Tests
• Long-Term Memory in Stock Market Prices
• Likelihood Ratio Specification Tests
• A Test for Normality of Observations and Regression Residuals
• IX. On the problem of the most efficient tests of statistical hypotheses
• On the Differential Geometry of the Wald Test with Nonlinear Restrictions
• On optimal asymptotic tests of composite hypotheses with several constraints
• Contiguity of Probability Measures
• The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
• THE STATISTICAL UTILIZATION OF MULTIPLE MEASUREMENTS
• TESTS OF SIGNIFICANCE IN MULTIVARIATE ANALYSIS
• Note on the Consistency of the Maximum Likelihood Estimate
• A test for the serial independence of residuals
• APPROXIMATE CONFIDENCE INTERVALS
• APPROXIMATE CONFIDENCE INTERVALS
• Some Examples of Asymptotically Most Powerful Tests
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large
• Maximum Likelihood Estimation of Misspecified Models
• Econometrics
• On improving the robustness and reliability of Rao's score test