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Score tests for zero covariances in recursive linear models for grouped or censored data

Chesher, A; (1985) Score tests for zero covariances in recursive linear models for grouped or censored data. Journal of Econometrics , 28 (3) 291 - 305. 10.1016/0304-4076(85)90002-8.

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Abstract

The score test statistic for testing whether an error covariance is zero is derived for a normal linear recursive model for fully observed, censored or grouped data. The test, which is obtained by regarding non-zero error covariances as arising from correlated random parameter variation, is shown to be closely related to the Information Matrix test. It turns out that the statistic, which is asymptotically N[0,1] under the null, examines the sample covariance of appropriately defined residuals. © 1985.

Type: Article
Title: Score tests for zero covariances in recursive linear models for grouped or censored data
DOI: 10.1016/0304-4076(85)90002-8
UCL classification: UCL > School of Arts and Social Sciences > Faculty of Social and Historical Sciences > Economics
URI: http://discovery.ucl.ac.uk/id/eprint/16197
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