Score tests for zero covariances in recursive linear models for grouped or censored data.
Journal of Econometrics
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.
|Title:||Score tests for zero covariances in recursive linear models for grouped or censored data|
|UCL classification:||UCL > School of Arts and Social Sciences > Faculty of Social and Historical Sciences
UCL > School of Arts and Social Sciences > Faculty of Social and Historical Sciences > Economics
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