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A new variance component score test for testing distributed lag functions with applications in time series analysis

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  • Chen, Yin-Hsiu
  • Mukherjee, Bhramar

Abstract

We propose to test a given constrained distributed lag model (DLM) of the form β=Cθ against an unconstrained alternative using a variance component score test (VCST) and show that VCST is more powerful than the standard likelihood ratio test in a simulation study.

Suggested Citation

  • Chen, Yin-Hsiu & Mukherjee, Bhramar, 2017. "A new variance component score test for testing distributed lag functions with applications in time series analysis," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 122-127.
    • Handle: RePEc:eee:stapro:v:123:y:2017:i:c:p:122-127
    DOI: 10.1016/j.spl.2016.12.003
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    References listed on IDEAS

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    1. Corradi, Corrado, 1977. "Smooth distributed lag estimators and smoothing spline functions in Hilbert spaces," Journal of Econometrics, Elsevier, vol. 5(2), pages 211-219, March.
    2. L. J. Welty & R. D. Peng & S. L. Zeger & F. Dominici, 2009. "Bayesian Distributed Lag Models: Estimating Effects of Particulate Matter Air Pollution on Daily Mortality," Biometrics, The International Biometric Society, vol. 65(1), pages 282-291, March.
    3. Robert B. Davies, 1980. "The Distribution of a Linear Combination of χ2 Random Variables," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 29(3), pages 323-333, November.
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