Improved Score Tests for One-parameter Exponential Family Models

Silvia Ferrari, Gauss Cordeiro, Miguel Uribe and F. Cribari-Neto

Econometrics from EconWPA

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.

Keywords: Bartlett-type correction; chi-squared distribution; exponential family; score statistic; variance function (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 1995-08-18
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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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:9508001

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