Comparison of LR, Score, and Wald Tests in a Non-IID Setting

Considering a large class of tests, we study higher order power in a possibly non-iid set-up. Optimum properties for the likelihood ratio and score tests are exhibited under the criteria of second-order local maximinity and third-order local average power, respectively. The issue of stringency with regard to third-order average power has been addressed. We also compare the power properties of various Bartlett-type adjustments for the tests.

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Year of publication:	1997
Authors:	Rao, C. Radhakrishna ; Mukerjee, Rahul
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 60.1997, 1, p. 99-110
Publisher:	Elsevier
Keywords:	average power Bartlett-type adjustment contiguous alternatives likelihood ratio test local maximinity Rao's score test stringency Wald's test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006445