A new variance component score test for testing distributed lag functions with applications in time series analysis

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• 作者：Yin-Hsiu Chen ; ^{yinhsiuc@umich.edu} ; Bhramar Mukherjee
• 关键词：Distributed lag models ; Generalized linear mixed model ; Likelihood ratio test ; Time series ; Variance component score test
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：April 2017
• 年：2017
• 卷：123
• 期：Complete
• 页码：122-127
• 全文大小：860 K
• 卷排序：123

文摘

We propose to test a given constrained distributed lag model (DLM) of the form β=Cθ against an unconstrained alternative using a variance component score test (VCST) and show that VCST is more powerful than the standard likelihood ratio test in a simulation study.