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Improved Score Tests for One-parameter Exponential Family Models

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Author Info
Silvia Ferrari
Gauss Cordeiro
Miguel Uribe
F. Cribari-Neto
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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Publisher 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
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Handle: RePEc:wpa:wuwpem:9508001

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

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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