Publication Type

Journal Article

Publication Date

11-2016

Abstract

The score test and the GOF test for the inverse Gaussian distribution, in particular the latter, are known to have large size distortion and hence unreliable power when referring to the asymptotic critical values. We show in this paper that with the appropriately bootstrapped critical values, these tests become second-order accurate, with size distortion being essentially eliminated and power more reliable. Two major generalizations of the score test are made: one is to allow the data to be right-censored, and the other is to allow the existence of covariate effects. A data mapping method is introduced for the bootstrap to be able to produce censored data that are conformable with the null model. Monte Carlo results clearly favour the proposed bootstrap tests. Real data illustrations are given.

Keywords

Bootstrap critical value, data mapping, goodness of fit, score test, inverse Gaussian regression, right-censoring, Wiener process

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Statistical Computation and Simulation

Volume

86

Issue

16

First Page

3243

Last Page

3269

ISSN

0094-9655

Identifier

10.1080/00949655.2016.1158819

Publisher

Taylor & Francis: STM, Behavioural Science and Public Health Titles

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1080/00949655.2016.1158819

Included in

Econometrics Commons

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