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• W2093700538 abstract "We investigate the problem of specification testing when the score vector evaluated at the restricted MLE is identically zero. Several econometric examples are provided. A general test procedure which generalizes the geometric principle of the score test is proposed. The Wald and the likelihood ratio tests are also analyzed. Even under such irregularities, the usual asymptotic distribution of the likelihood ratio statistics is still valid. However, the Wald-type statistics need to be modified. The generalized score, the likelihood ratio and the modified Wald tests are shown to be asymptotically equivalent. The asymptotic efficiency of the tests is derived." @default.
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• W2093700538 date "1986-03-01" @default.
• W2093700538 modified "2023-10-18" @default.
• W2093700538 title "Specification testing when score test statistics are identically zero" @default.
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• W2093700538 doi "https://doi.org/10.1016/0304-4076(86)90045-x" @default.
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