A modified likelihood ratio statistic for some nonregular models

Thomas A. Severini

Biometrika, 2004, vol. 91, issue 3, 603-612

Abstract: Higher-order approximations to the distribution of the likelihood ratio statistic are considered for a class of nonregular models in which the maximum likelihood estimator of the parameter of interest is asymptotically distributed according to an exponential, rather than a normal, distribution. Asymptotic behaviour of this type often arises when the boundary of the support of the distributions under consideration depends on &thgr;. A modified likelihood ratio statistic is proposed that follows its asymptotic distribution to a high degree of approximation, and this statistic is illustrated on several examples. Copyright Biometrika Trust 2004, Oxford University Press.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:oup:biomet:v:91:y:2004:i:3:p:603-612

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