An improved likelihood ratio test for varying dispersion in exponential family nonlinear models

Audrey H.M.A. Cysneiros and Silvia L.P. Ferrari

Statistics & Probability Letters, 2006, vol. 76, issue 3, 255-265

Abstract: This paper considers the issue of testing for varying dispersion in exponential family nonlinear models. We obtain a Bartlett correction to the modified profile likelihood ratio test given by Wei et al. [Testing for varying dispersion in exponential family nonlinear models. Ann. Inst. Statist. Math. 50 (1998) 277-294.]. Our results generalize those in Ferrari et al. [An improved test for heteroskedasticity using adjusted modified profile likelihood-inference. J. Statist. Plann. Inf. 124 (2004) 423-4376.] which are confined to normal linear regression models. Our numerical results show that the corrected test we propose displays reliable finite sample behavior and outperforms the ordinary and the modified profile likelihood ratio tests.

Keywords: Bartlett; correction; Exponential; family; Likelihood; ratio; test; Nonlinear; models; Profile; likelihood; Varying; dispersion (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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