Transcription of Three Classical Tests; Wald, LM(Score), and LR tests
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Three Classical Tests; Wald, LM(Score), and LR tests
Econ 620 Three Classical tests ; wald , LM( score ), and LR testsSuppose that we have the density (y; ) of a model with the null hypothesis of the formH0; = ( ) be the log-likelihood function of the model and be the MLE of . wald test is based on the very intuitive idea that we are willing to accept the null hypothesis when isclose to distance between and 0is the basis of constructing the test statistic. On the other hand,consider the following constrained maximization problem,max L( ) = 0If the constraint is not binding (the null hypothesi is true), the Lagrangian multiplier associated withthe constraint is zero.
Econ 620 Three Classical Tests; Wald, LM(Score), and LR tests Suppose that we have the density (y;θ) of a model with the null hypothesis of the form H0;θ = θ0.Let L(θ) be the log-likelihood function of the model andθ be the MLE ofθ. Wald test is based on the very intuitive idea that we are willing to accept the null hypothesis when θ is close to θ0. ...
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