On the goodness-of-fit tests for gamma generalized linear models

다국어 초록 (Multilingual Abstract)

An omitted covariate in the regression function leads to hidden or unobserved heterogeneity in generalized linear models (GLMs). Using this fact, we develop two novel goodness-of-ft tests for gamma GLMs. The frst is a score test to check the existence of hidden heterogeneity and the second is a Hausman-type specifcation test to detect the diference between two estimators for the dispersion parameter. In addition to these developments, we reveal the undesirable behavior of the deviance test for gamma GLMs, which is still used by many scholars in practice. Exploiting real-world data, we demonstrate the application of our proposed method.

참고문헌 (Reference)

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