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A New Variance Component Score Test for Testing Distributed Lag Functions with Applications in Time Series Analysis
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.
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| Publicado no: | Stat Probab Lett |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2016
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5703603/ https://ncbi.nlm.nih.gov/pubmed/29200542 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.spl.2016.12.003 |
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