非嵌套假设的得分检验及其在离散数据模型中的应用

A score test for non‐nested hypotheses with applications to discrete data models

Journal of Applied Econometrics · 2001
被引 37
人大 AABS 3

中文导读

提出一种基于似然函数线性组合的得分检验,用于检验非嵌套替代假设,特别适用于离散数据模型的分布假设检验,并以休闲划船旅行模型为例展示其用途。

Abstract

Abstract In this paper it is shown that a convenient score test against non‐nested alternatives can be constructed from the linear combination of the likelihood functions of the competing models. This is essentially a test for the correct specification of the conditional distribution of the variable of interest. Given its characteristics, the proposed test is particularly attractive to check the distributional assumptions in models for discrete data. The usefulness of the test is illustrated with an application to models for recreational boating trips. Copyright © 2001 John Wiley & Sons, Ltd.

非嵌套假设检验得分检验离散数据模型条件分布设定