Improved score tests for one-parameter exponential family models

Silvia L. P. Ferrari, Gauss M. Cordeiro, Miguel A. Uribe-Opazo and Francisco Cribari-Neto

Statistics & Probability Letters, 1996, vol. 30, issue 1, 61-71

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 n-1 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 Ho : [theta] = [theta](o), where [theta] is the scalar parameter of a one-parameter exponential family model. 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)
Date: 1996
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Citations: View citations in EconPapers (1)

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