Specification testing when score test statistics are identically zero
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As the examples given in the paper illustrate, the problem of an identically zero score test statistics is not unusual in (econometric) specification testing. This paper provides first a very illustrative introduction and survey to this problem. However, this paper does also more than just motivate; it discusses alternative tests like the likelihood ratio test and the Wald test and introduces a generalized efficient score test. The paper is well written and organized, clear and precise.
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Cited in
(23)- Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model
- Misspecified structural change, threshold, and Markov-switching models.
- Confidence regions near singular information and boundary points with applications to mixed models
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- Uniform inference in linear mixed models
- Analysis of time series subject to changes in regime
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