In this article we derive a test statistic generating equation (TSGE) from which several statistics suitable for testing parametric restrictions in models estimated by the generalized method of moments (GMM) may be obtained. This statistic presents three main features: it is valid for producing ...
2. 似然比检验(likelihood ratio test, LRT) 检验参数能否反映真实性的方法 之前提到过两种ML估值方法(SSML和FIML), “充分统计最大似然值估计(Sufficient-statistic maximum likelihood estimation,SSML)仅仅基于观测到的协方差矩阵和均值向量,前提是有完整数据 (complete-case data)和正态分布的因变量(normally distrib...
Various test statistics are used for testing structural equation models. One such test statistic is obtained as n times the minimum of the log-likelihood fit function under multivariate normality, where N=n+1 is the sample size, see e.g., Jöreskog (1969). Another test statistic is n tim...
In this paper, we propose a constancy test for volatility in It processes based on discretely sampled data. The test statistic constitutes an integration of the Ljung–Box test statistic and the kurtosis statistic in the Jarque–Bera test. It is shown that under regularity conditions, the propose...
The test statistic together with the p-values, calculated through our approximation for the asymptotic variance of the derived maximum pseudo-likelihood estimator, provide a complete framework for quantitative analysis in MRF parameter estimation. 展开 关键词: image analysis Markov Random Fields Potts ...
Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests We consider an alternative use of simulation in the context of using the Likelihood-Ratio statistic to test non-nested models. To date simulation has been ... G Kapetanios,M Weeks - 《Ca...
accounts of maximum likelihood (ML) estimation of structural equation models for continuous outcomes involve normality assumptions: standard errors (SEs) are obtained using the expected information matrix and the goodness of fit of the model is tested using the likelihood ratio (LR) statistic. Satorra...
Within the class of elliptical distributions, analytical results show that the robust procedure leading to the most efficient parameter estimates also yields a most powerful test statistic. Examples illustrate the merit of the proposed procedure. The relevance of this procedure to data analysis in a ...
In Statistical Methods of Cancer Research; Volume 1 - The analysis of case-control studies the authors Breslow and Day derive a statistic to test for the homogeneity of combining strata into an odds ratio (equation 4.30). Given the value of the statistic, the test determines...
The proposed solution [10] is to calculate a residual-based test statistic ([59] Equation (2.20a)) 𝑇res=𝑁×𝑒′Γ−1𝑒, (20) where 𝑒=[𝜇̂ ,𝑣𝑒𝑐ℎ(Σ̂ )]′−[𝑦̲,𝑣𝑒𝑐ℎ(𝑆)]′ is the vector of 𝑉∗ mean and covariance residuals...