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An improved likelihood ratio test for varying dispersion in exponential family nonlinear models

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  • Cysneiros, Audrey H.M.A.
  • Ferrari, Silvia L.P.

Abstract

This paper considers the issue of testing for varying dispersion in exponential family nonlinear models. We obtain a Bartlett correction to the modified profile likelihood ratio test given by Wei et al. [Testing for varying dispersion in exponential family nonlinear models. Ann. Inst. Statist. Math. 50 (1998) 277-294.]. Our results generalize those in Ferrari et al. [An improved test for heteroskedasticity using adjusted modified profile likelihood-inference. J. Statist. Plann. Inf. 124 (2004) 423-4376.] which are confined to normal linear regression models. Our numerical results show that the corrected test we propose displays reliable finite sample behavior and outperforms the ordinary and the modified profile likelihood ratio tests.

Suggested Citation

  • Cysneiros, Audrey H.M.A. & Ferrari, Silvia L.P., 2006. "An improved likelihood ratio test for varying dispersion in exponential family nonlinear models," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 255-265, February.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:3:p:255-265
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    References listed on IDEAS

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    1. Bo-Cheng Wei & Jian-Qing Shi & Wing-Kam Fung & Yue-Qing Hu, 1998. "Testing for Varying Dispersion in Exponential Family Nonlinear Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(2), pages 277-294, June.
    2. Ferrari, Silvia L. P. & Cribari-Neto, Francisco, 2002. "Corrected modified profile likelihood heteroskedasticity tests," Statistics & Probability Letters, Elsevier, vol. 57(4), pages 353-361, May.
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    Cited by:

    1. Mariana C. Araújo & Audrey H. M. A. Cysneiros & Lourdes C. Montenegro, 2020. "Improved heteroskedasticity likelihood ratio tests in symmetric nonlinear regression models," Statistical Papers, Springer, vol. 61(1), pages 167-188, February.
    2. Melo, Tatiane F.N. & Ferrari, Silvia L.P. & Cribari-Neto, Francisco, 2009. "Improved testing inference in mixed linear models," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2573-2582, May.
    3. Ferrari, Silvia L.P. & Cysneiros, Audrey H.M.A., 2008. "Skovgaard's adjustment to likelihood ratio tests in exponential family nonlinear models," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 3047-3055, December.

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