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Asymptotic properties of the score test for autocorrelation in a random effects with AR(1) errors model

Author

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  • Chi, Eric M.
  • Reinsel, Gregory C.

Abstract

The score test developed by Chi and Reinsel (1989) is shown to be asymptotically chi-squared distributed, and the asymptotic power of the score test under local alternatives is derived and found to be reasonably high for moderate values of the autocorrelation coefficient in the AR(1) errors.

Suggested Citation

  • Chi, Eric M. & Reinsel, Gregory C., 1991. "Asymptotic properties of the score test for autocorrelation in a random effects with AR(1) errors model," Statistics & Probability Letters, Elsevier, vol. 11(5), pages 453-457, May.
    • Handle: RePEc:eee:stapro:v:11:y:1991:i:5:p:453-457
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    Cited by:

    1. Lin, Jin-Guan & Wei, Bo-cheng, 2006. "Approximate power of score test for variance heterogeneity under local alternatives in nonlinear models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3179-3198, July.
    2. Wang, Wan-Lun & Fan, Tsai-Hung, 2010. "ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors," Computational Statistics & Data Analysis, Elsevier, vol. 54(5), pages 1328-1341, May.

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