Asymptotic properties of the score test for autocorrelation in a random effects with AR(1) errors model

Eric M. Chi and Gregory C. Reinsel

Statistics & Probability Letters, 1991, vol. 11, issue 5, 453-457

Abstract: The score test developed by Chi and Reinsel (1989) is shown to be asymptotically chi-squared distributed, and the asymptotic power of the score test under local alternatives is derived and found to be reasonably high for moderate values of the autocorrelation coefficient in the AR(1) errors.

Keywords: Asymptotic; normality; autocorrelation; longitudinal; data; maximum; likelihood; estimation; power (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (2)

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