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

Authors
 Seongil Jo  ;  Myeongjee Lee  ;  Woojoo Lee 
Citation
 JOURNAL OF THE KOREAN STATISTICAL SOCIETY, Vol.50(1) : 315-332, 2021-03 
Journal Title
JOURNAL OF THE KOREAN STATISTICAL SOCIETY
ISSN
 1226-3192 
Issue Date
2021-03
Keywords
Gamma generalized linear model ; Goodness-of-ft test ; Score test ·Heterogeneity
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-fit tests for gamma GLMs. The first is a score test to check the existence of hidden heterogeneity and the second is a Hausman-type specification test to detect the difference 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.
Full Text
https://link.springer.com/article/10.1007/s42952-020-00095-0
DOI
10.1007/s42952-020-00095-0
Appears in Collections:
1. College of Medicine (의과대학) > Dept. of Biomedical Systems Informatics (의생명시스템정보학교실) > 1. Journal Papers
Yonsei Authors
Lee, Myeongjee(이명지)
URI
https://ir.ymlib.yonsei.ac.kr/handle/22282913/191004
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