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Corrected score tests for exponential censored data

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  • Cordeiro, Gauss M.
  • Colosimo, Enrico A.

Abstract

In this paper we discuss the issue of improving score statistics for exponential censored data. We give a general formula to compute corrected score statistics in exponential regression models. The formula derived is simple enough to be used analytically in order to obtain closed-form Bartlett-type corrections to improve score statistics in several special cases. The formula has also advantages for numerical purposes because it requires only simple operations on matrices. We show by Monte Carlo simulations that the corrected score test seems to improve over the usual score test.

Suggested Citation

  • Cordeiro, Gauss M. & Colosimo, Enrico A., 1999. "Corrected score tests for exponential censored data," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 365-373, October.
    • Handle: RePEc:eee:stapro:v:44:y:1999:i:4:p:365-373
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    References listed on IDEAS

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    1. Cribari-Netoa, Francisco & Ferrari, Silvia L. P., 1995. "Bartlett-corrected tests for heteroskedastic linear models," Economics Letters, Elsevier, vol. 48(2), pages 113-118, May.
    2. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
    3. Francisco Cribari-Neto, 1997. "On the corrections to information matrix tests," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 39-53.
    4. Cribari-Neto, Francisco & Zarkos, Spyros, 1995. "Improved test statistics for multivariate regression," Economics Letters, Elsevier, vol. 49(2), pages 113-120, August.
    5. Francisco Cribari-Neto & Spyros Zarkos, 1995. "Improved Test Statistics for Multivariate Regression," Econometrics 9506003, University Library of Munich, Germany.
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    Cited by:

    1. Kakizawa, Yoshihide, 2012. "Improved chi-squared tests for a composite hypothesis," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 141-161.

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