Score-type tests for normal mixtures

• Dante Amengual ^[1] ; Xinyue Bei ; Marine Carrasco ; Enrique Sentana Iváñez
  1. [1] CEMFI
• Localización: Documentos de Trabajo ( CEMFI ), Nº. 13 (CEMFI Working Paper No. 2213 December 2022), 2022
• Idioma: inglés
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• Resumen

  • Testing normality against discrete normal mixtures is complex because some parameters turn increasingly underidentified along alternative ways of approaching the null, others are inequality constrained, and several higher-order derivatives become identically 0. These problems make the maximum of the alternative model log-likelihood function numerically unreliable. We propose scoretype tests asymptotically equivalent to the likelihood ratio as the largest of two simple intuitive statistics that only require estimation under the null. One novelty of our approach is that we treat symmetrically both ways of writing the null hypothesis without excluding any region of the parameter space. We derive the asymptotic distribution of our tests under the null and sequences of local alternatives. We also show that their asymptotic distribution is the same whether applied to observations or standardized residuals from heteroskedastic regression models. Finally, we study their power in simulations and apply them to the residuals of Mincer earnings functions.