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Improved Score Tests for One-parameter Exponential Family Models

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  • Silvia Ferrari
  • Gauss Cordeiro
  • Miguel Uribe
  • F. Cribari-Neto
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    Abstract

    Under suitable regularity conditions, an improved score test was derived by Cordeiro and Ferrari (1991). The test is based on a corrected score statistic which has a chi-squared distribution to order 1/n under the null hypothesis, where n is the sample size. In this paper we follow their approach and obtain a Bartlett-corrected score statistic for testing the null hypothesis theta = theta_0 where theta is the scalar parameter of a one-parameter exponential family model and theta_0 is a real number. We apply our main result to a number of special cases and derive approximations for corrections that involve unusual functions. We also obtain Bartlett-type corrections for natural exponential families.

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    Bibliographic Info

    Paper provided by EconWPA in its series Econometrics with number 9508001.

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    Length: 13 pages
    Date of creation: 18 Aug 1995
    Date of revision:
    Handle: RePEc:wpa:wuwpem:9508001

    Note: Type of Document - PostScript; prepared on IBM-compatible; to print on HP LaserJet 4MP (2Mb); pages: 13; figures: four (included). Browse all of our working papers at
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    Related research

    Keywords: Bartlett-type correction; chi-squared distribution; exponential family; score statistic; variance function;

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