Reversed Score and Likelihood Ratio Tests

Geert Dhaene and Olivier Scaillet

No 2000026, LIDAM Discussion Papers IRES from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: Two extensions of a parametric model are proposed, each one involving the score function of an alternative parametric model. We show that the encompassing hypothesis is equivalent to standard conditions on the score of each of the extended models. The condition on the first extension gives rise to the standard score encompassing test, while the condition on the second extension induces a so-called reversed score encompassing test. A similar logic is applied to the likelihood ratio, generating a likelihood ratio and a reversed likelihood ratio encompassing test. The ensued test statistics can be based on simulations if certain calculations are too difficult to carry out analytically. We study the first order asymptotic properties of the proposed test statistics under general conditions.

Keywords: Score test; likelihood ratio test; encompassing; simulation-based inference (search for similar items in EconPapers)
JEL-codes: C3 C5 (search for similar items in EconPapers)
Pages: 16
Date: 2000-10-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Working Paper: Reversed Score and Likelihood Ratio Tests (2000)
Working Paper: Reversed Score and Likelihood Ratio Tests (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvir:2000026

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