A NOTE ON INCONSISTENCY OF THE SCORE TEST

Sumathi K, Aruna Rao K

Abstract


The score test proposed by Rao (1947) has been widely used in the recent years for data analysis and model building because of its simplicity. However, at the time of its computation, it has been found that the value of the score test statistic becomes negative. Freedman (2007) discussed some of the theoretical reasons for this inconsistency of the score test and observed that the test was inconsistent when the observed Fisher information matrix was used rather than the expected Fisher information matrix. The present paper is an attempt to demonstrate the inconsistency of the score test in terms of the power function.


Keywords


Model building, consistency, score test, Fisher information matrix, power function.

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DOI: http://dx.doi.org/10.18187/pjsor.v7i1.158

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Title

A NOTE ON INCONSISTENCY OF THE SCORE TEST

Keywords

Model building, consistency, score test, Fisher information matrix, power function.

Description

The score test proposed by Rao (1947) has been widely used in the recent years for data analysis and model building because of its simplicity. However, at the time of its computation, it has been found that the value of the score test statistic becomes negative. Freedman (2007) discussed some of the theoretical reasons for this inconsistency of the score test and observed that the test was inconsistent when the observed Fisher information matrix was used rather than the expected Fisher information matrix. The present paper is an attempt to demonstrate the inconsistency of the score test in terms of the power function.


Date

2010-12-30

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol 7. No. 1, Jan 2011



Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810