Comparison of LR, Score, and Wald Tests in a Non-IID Setting

C. Radhakrishna Rao and Rahul Mukerjee

Journal of Multivariate Analysis, 1997, vol. 60, issue 1, 99-110

Abstract: Considering a large class of tests, we study higher order power in a possibly non-iid set-up. Optimum properties for the likelihood ratio and score tests are exhibited under the criteria of second-order local maximinity and third-order local average power, respectively. The issue of stringency with regard to third-order average power has been addressed. We also compare the power properties of various Bartlett-type adjustments for the tests.

Keywords: average; power; Bartlett-type; adjustment; contiguous; alternatives; likelihood; ratio; test; local; maximinity; Rao's; score; test; stringency; Wald's; test (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (9)

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