Monotonic improved critical values for two χ² asymptotic criteria

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• 作者：Cribari-Neto ; Francisco ; Ferrari ; Silvia L.P.
• 关键词：Cornish&ndash ; Fisher expansion ; Edgeworth expansion ; Likelihood ratio test ; Score test ; Wald test ; C12 ; C52
• 刊名：Economics Letters
• 出版年：2001
• 期刊代码：9_01651765
• 类别：eco
• 出版时间：June, 2001
• 卷：71
• 期：3
• 页码：307-316
• 文件大小：92.3 K

摘要

Size-corrected critical values are usually obtained by inverting the Edgeworth expansion for the null distribution of a test statistic, e.g., the likelihood ratio, score or Wald statistic. A potentially serious problem with this approach is that the size-corrected critical value is not typically a monotonic function of the original critical value, and hence it can even be negative in cases where the test statistic is always non-negative. We address this problem by deriving three different size-corrected critical values which are always monotonic (non-decreasing) functions of the original critical value.