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Practical testing for the normal mixture

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  • Cho, Jin Seo

Abstract

The current study provides a Gaussian version used to test for the normal mixture hypothesis with a single mean and two distinct variances. We derive the Gaussian version for the model by associating its score function with the generalized Laguerre polynomial. The Gaussian version is analytical, so that it can be simulated to obtain the asymptotic critical values of the likelihood-ratio test.

Suggested Citation

  • Cho, Jin Seo, 2025. "Practical testing for the normal mixture," Economics Letters, Elsevier, vol. 255(C).
    • Handle: RePEc:eee:ecolet:v:255:y:2025:i:c:s0165176525004045
    DOI: 10.1016/j.econlet.2025.112567
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    References listed on IDEAS

    as
    1. Jin Seo Cho & Halbert White, 2007. "Testing for Regime Switching," Econometrica, Econometric Society, vol. 75(6), pages 1671-1720, November.
    2. Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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