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Test of misspecification with application to negative binomial distribution

Listed author(s):
  • K. Chua
  • S. Ong


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    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

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    Article provided by Springer in its journal Computational Statistics.

    Volume (Year): 28 (2013)
    Issue (Month): 3 (June)
    Pages: 993-1009

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    Handle: RePEc:spr:compst:v:28:y:2013:i:3:p:993-1009
    DOI: 10.1007/s00180-012-0345-x
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    1. Taylor, Larry W., 1987. "The size bias of White's information matrix test," Economics Letters, Elsevier, vol. 24(1), pages 63-67.
    2. 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.
    3. Dhaene, Geert & Hoorelbeke, Dirk, 2004. "The information matrix test with bootstrap-based covariance matrix estimation," Economics Letters, Elsevier, vol. 82(3), pages 341-347, March.
    4. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
    5. 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.
    6. Famoye, Felix, 2000. "Goodness-of-fit tests for generalized logarithmic series distribution," Computational Statistics & Data Analysis, Elsevier, vol. 33(1), pages 59-67, March.
    7. 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.
    8. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    9. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
    10. Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
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