Test of misspecification with application to negative binomial distribution
A misspecification test based directly on Bartlett’s First Identity is examined. This test is exemplified by the negative binomial distribution. A Monte Carlo simulation study has been conducted, in the context of testing distributional misspecification, and the performance of the proposed test has been benchmarked with some goodness-of-fit tests based on the empirical distribution function. The results suggest that the proposed test is viable in terms of computational speed and statistical power, and has the advantage that complications arising from the use of the covariance matrix in White’s information matrix test are avoided. Copyright Springer-Verlag 2013
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 28 (2013)
Issue (Month): 3 (June)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/statistics/journal/180/PS2|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Taylor, Larry W., 1987. "The size bias of White's information matrix test," Economics Letters, Elsevier, vol. 24(1), pages 63-67.
- Ong, S.H. & Lee, Wen-Jau, 2008. "Computer generation of negative binomial variates by envelope rejection," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4175-4183, May.
- Dhaene, Geert & Hoorelbeke, Dirk, 2004.
"The information matrix test with bootstrap-based covariance matrix estimation,"
Elsevier, vol. 82(3), pages 341-347, March.
- Geert Dhaene & Dirk Hoorelbeke, 2002. "The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation," Working Papers Department of Economics ces0211, KU Leuven, Faculty of Economics and Business, Department of Economics.
- Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
- Gupta, Ramesh C. & Ong, S. H., 2004. "A new generalization of the negative binomial distribution," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 287-300, March.
- Famoye, Felix, 2000. "Goodness-of-fit tests for generalized logarithmic series distribution," Computational Statistics & Data Analysis, Elsevier, vol. 33(1), pages 59-67, March.
- Goffe William L., 1996. "SIMANN: A Global Optimization Algorithm using Simulated Annealing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(3), pages 1-9, October.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
- Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:spr:compst:v:28:y:2013:i:3:p:993-1009. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.