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Theory & Methods: Testing for Homogeneity in an Exponential Mixture Model
Author(s) -
Mosler Karl,
Seidel Wilfried
Publication year - 2001
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00168
Subject(s) - goodness of fit , homogeneity (statistics) , mathematics , statistics , score test , econometrics , likelihood ratio test , empirical likelihood , exponential function , confidence interval , mathematical analysis
This paper studies diagnostic procedures to test for homogeneity against unobserved heterogeneity in an exponential mixture model. The procedures include a dispersion score test, a likelihood ratio test, a moment likelihood approach and several goodness‐of‐fit tests. The paper compares the empirical power of these tests on a broad range of alternatives and proposes a new test that combines the dispersion score test with a properly chosen goodness‐of‐fit procedure; its empirical power comes close to the power of the best of the other tests.