Variable Augmentation Specification Tests in the Exponential Family
从广义线性指数族视角提出变量增广设定检验方法，统一并简化了得分检验的计算，适用于计量经济学和统计学中的均值与方差设定检验。
This paper motivates, exposits, and develops the variable augmentation specification test (VAST) approach from the perspective of generalized linear exponential family, which includes several parametric families widely used in applied econometrics and statistics. The approach is equivalent to score tests and link tests and serves to both unify and simplify the computation of score tests in such models using the Engle-Davidson-MacKinnon technique of artificial regression. Specification tests for both the mean and the variance components are treated symmetrically. Several theoretical applications are discussed.