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

Yin-Hsiu Chen and Bhramar Mukherjee

Statistics & Probability Letters, 2017, vol. 123, issue C, 122-127

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.

Keywords: Distributed lag models; Generalized linear mixed model; Likelihood ratio test; Time series; Variance component score test (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2016.12.003

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