Asymptotic power of Rao’s score test for independence in high dimensions

This paper considers testing the covariance matrices structure based on Wald’s score test in large-dimensional setting. The tests for identity and sphericity of large-dimensional covariance matrices are reviewed by the generalized CLT for the linear spectral statistics of large-dimensional sample covariance matrices from [D. D. Jiang, Tests for large-dimensional covariance structure based on Rao’s score test, J. Multivariate Anal. 152 (2016) 28–39]. The proposed test can be applicable for large-dimensional non-Gaussian variables in a wider range. Furthermore, the simulation study is conducted to compare the proposed test with other large-dimensional covariance matrix tests. As seen from the simulation results, our proposed test is feasible for large-dimensional data without restriction of population distribution and provides the accurate and steady empirical sizes, which are almost around the nominal size.

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Adjustments of Rao’s Score Test for Distributional and Local Parametric Misspecifications

Journal of Econometric Methods ◽

10.1515/jem-2017-0022 ◽

2019 ◽

Vol 9 (1) ◽

Cited By ~ 1

Author(s):

Anil K. Bera ◽

Yannis Bilias ◽

Mann J. Yoon ◽

Süleyman Taşpınar ◽

Osman Doğan

Keyword(s):

Test Procedure ◽

Score Test ◽

Score Function ◽

Monte Carlo Study ◽

Fundamental Principle ◽

Finite Sample ◽

Special Cases ◽

Finite Sample Properties ◽

Data Generating Process ◽

Rao's Score Test

AbstractRao’s (1948) seminal paper introduced a fundamental principle of testing based on the score function and the score test has local optimal properties. When the assumed model is misspecified, it is well known that Rao’s score (RS) test loses its optimality. A model could be misspecified in a variety of ways. In this paper, we consider two kinds: distributional and parametric. In the former case, the assumed probability density function differs from the data generating process. Kent (1982) and White (1982) analyzed this case and suggested a modified version of the RS test that involves adjustment of the variance. In the latter case, the dimension of the parameter space of the assumed model does not match with that of the true one. Using the distribution of the RS test under this situation, Bera and Yoon (1993) developed a modified RS test that is valid under the local parametric misspecification. This involves adjusting both the mean and variance of the standard RS test. This paper considers the joint presence of the distributional and parametric misspecifications and develops a modified RS test that is valid under both types of misspecification. Earlier modified tests under either type of misspecification can be obtained as the special cases of the proposed test. We provide three examples to illustrate the usefulness of the suggested test procedure. In a Monte Carlo study, we demonstrate that the modified test statistics have good finite sample properties.

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