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Improved Score Tests for One-parameter Exponential Family Models

Author

Listed:
  • Silvia Ferrari
  • Gauss Cordeiro
  • Miguel Uribe
  • F. Cribari-Neto

Abstract

Under suitable regularity conditions, an improved score test was derived by Cordeiro and Ferrari (1991). The test is based on a corrected score statistic which has a chi-squared distribution to order 1/n under the null hypothesis, where n is the sample size. In this paper we follow their approach and obtain a Bartlett-corrected score statistic for testing the null hypothesis theta = theta_0 where theta is the scalar parameter of a one-parameter exponential family model and theta_0 is a real number. We apply our main result to a number of special cases and derive approximations for corrections that involve unusual functions. We also obtain Bartlett-type corrections for natural exponential families.

Suggested Citation

  • Silvia Ferrari & Gauss Cordeiro & Miguel Uribe & F. Cribari-Neto, 1995. "Improved Score Tests for One-parameter Exponential Family Models," Econometrics 9508001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:9508001
    Note: Type of Document - PostScript; prepared on IBM-compatible; to print on HP LaserJet 4MP (2Mb); pages: 13; figures: four (included). Browse all of our working papers at
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    More about this item

    Keywords

    Bartlett-type correction; chi-squared distribution; exponential family; score statistic; variance function;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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