On Generalized Score Tests
- 1 November 1992
- journal article
- editorial
- Published by JSTOR in The American Statistician
- Vol. 46 (4), 327-333
- https://doi.org/10.2307/2685328
Abstract
Generalizations of Rao's score test are receiving increased attention, especially in the econometrics and biostatistics literature. These generalizations are able to account for certain model inadequacies or lack of knowledge by use of empirical variance estimates. This article shows how the various forms of the generalized test statistic arise from Taylor expansion of the estimating equations. The general estimating equations structure unifies a variety of applications and helps suggest new areas of application.Keywords
This publication has 2 references indexed in Scilit:
- A note on generalized wald’s methodMetrika, 1990
- Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample propertiesJournal of Econometrics, 1985