Communications in Statistics - Theory and Methods

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Improved score tests for exponential family

nonlinear models

Alexsandro B. Cavalcanti, Denise A. Botter, Lúcia P. Barroso, Manoel Santos-

Neto & Gauss M. Cordeiro

To cite this article: Alexsandro B. Cavalcanti, Denise A. Botter, Lúcia P. Barroso, Manoel
Santos-Neto & Gauss M. Cordeiro (2021) Improved score tests for exponential family
nonlinear models, Communications in Statistics - Theory and Methods, 50:15, 3731-3745, DOI:
10.1080/03610926.2019.1710202

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Published online: 07 Feb 2020.

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COMMUNICATIONS IN STATISTICS—THEORY AND METHODS
2021, VOL. 50, NO. 15, 3731–3745
https://doi.org/10.1080/03610926.2019.1710202

Improved score tests for exponential family

nonlinear models
Alexsandro B. Cavalcantia, Denise A. Botterb , Lu
cia P. Barrosob,
a c
Manoel Santos-Neto , and Gauss M. Cordeiro
a
Departamento de Estat
ıstica, Universidade Federal de Campina Grande, Campina Grande, Brazil;
b
Departamento de Estat
ıstica, Universidade de S~ao Paulo, S~ao Paulo, Brazil; cDepartamento de
Estat
ıstica, Universidade Federal de Pernambuco, Recife, Brazil

ABSTRACT ARTICLE HISTORY

This paper focuses on the corrections to the score test statistic under Received 20 June 2019
the exponential family nonlinear model. We use Monte Carlo simula- Accepted 17 December 2019
tions to compare the corrected statistics and their uncorrected ver-
KEYWORDS
sions and to examine the impact of the number of nuisance
Bartlett-type correction;
parameters on their finite-sample behaviors for the normal nonlinear exponential family; Monte
regression model. The numerical results have shown that the cor- Carlo simulation; nonlinear
rected score statistic performs better than the uncorrected version. model; score test
Finally, we perform a statistical analysis with real data by using the
approach proposed in the article.

1. Introduction
Rao’s score statistics ðSR Þ (Rao 1948; Sen 1997) are usually used in econometrics and
statistics when we want to test a wide range of hypotheses in many different classes of
models. In small and moderate samples size, the approximation of the true, commonly
unknown, distributions of these statistics by their v2 asymptotic distribution may be
poor. Bartlett (1937) and Bartlett-type (Cordeiro and Ferrari 1991) corrections adopt
second-order likelihood asymptotic results to obtain refinements for statistics that follow
more closely a v2 distribution under the null hyphotesis.
Bartlett-type corrections to score tests in generalized linear models for the cases of
known and unknown dispersion were determined by Cordeiro, Ferrari, and Paula
(1993) and Cribari-Neto and Ferrari (1995b), respectively. Similar corrections for score
tests in multivariate regression models were obtained by Cribari-Neto and Zarkos
(1995). Bartlett-type corrections to score tests under heteroskedasticity were determined
by Cribari-Neto and Ferrari (1995a). Cordeiro and Ferrari (1996) derived improved
score statistics in proper dispersion models. Botter and Cordeiro (1998) obtained cor-
rections for the likelihood ratio statistics in generalized linear models with dispersion
covariates. Other references are Cordeiro (1983, 1987), Ferrari and Uribe-Opazo (2001),
Zucker, Lieberman, and Manor (2002), Uribe-Opazo, Ferrari, and Cordeiro (2008),

CONTACT Denise A. Botter botter@ime.usp.br Departamento de Estat
ıstica, Universidade de S~ao Paulo, S~ao
Paulo, Brazil.
ß 2020 Taylor & Francis Group, LLC
3732 A. B. CAVALCANTI ET AL.

Lagos, Morettin, and Barroso (2010), Vargas, Ferrari, and Lemonte (2014), Lemonte,
Cordeiro, and Moreno (2012), Lemonte, Cordeiro, and Moreno-Arenas (2016),
Medeiros and Ferrari (2017), Medeiros, Ferrari, and Lemonte (2017), and Ara
ujo,
Cysneiros, and Montenegro (2017).
The main purpose of this paper is to derive Bartlett-type corrections (Cordeiro and
Ferrari 1991) to improve the inference on the score statistic in exponential family non-
linear models. This class extends the generalized linear models with varying dispersion
as proposed by Smyth (1989). A Monte Carlo simulation study is performed to evaluate
the performance of the corrected statistics and their uncorrected version.
The plan of the paper is as follows. In Section 2, we present the model of interest. In
Section 3, we give the Bartlett-type corrected score statistic. In Section 4, we develop
some Monte Carlo simulations to prove empirically that our corrected test outperforms
the score test in finite samples. In Section 5, we show the potentiality of the new
approach through an application with real data. Some concluding remarks are offered
in Section 6.

2. Exponential family nonlinear models

Suppose Y1 , :::, Yn be independent random variables with each Y‘ having probability
density function in the exponential family
n   1 o
pðy‘ ; h‘ , /‘ Þ ¼ exp /‘ y‘ h‘  bðh‘ Þ  cðy‘ Þ  eðy‘ , /‘ Þ , ‘ ¼ 1, :::, n (1)
2
where bðÞ, cðÞ and eð, Þ are known functions and h‘ and /‘ > 0 are the canonical and
precision parameters, respectively. We assume that /‘ is unknown and varies across
observations. We also consider that /1 ‘ ¼ r m‘ , where m‘ ¼ mðz‘ , dÞ > 0 is the ‘th
2

element of the diagonal matrix M of dimension n  n, z> ‘ is the ‘th row of the covariate
matrix Z of dimension n  s used to construct the systematic component for the preci-
sion parameter, r2 is an unknown constant, finite and strictly positive, and d is a q-vec-
tor of unknown parameters.
For this class of models, the following relations hold: EðY‘ Þ ¼ l‘ ¼ b0 ðh‘ Þ ¼
dbðh‘ Þ=dh‘ and VarðY‘ Þ ¼ /1 ‘ V‘ , where V‘ ¼ dl‘ =dh‘ is called the variance function.
The exponential family nonlinear models (EFNLMs) are defined by (1) and by the sys-
tematic component
hðl‘ Þ ¼ g‘ ¼ fðx‘ ; bÞ (2)
where hðÞ is a link function strictly monotone and at least twice differentiable, b> ¼
ðb1 , :::, bp Þ, p < n, is a vector of unknown parameters to be estimated, fð; Þ is a possible
nonlinear twice continuously differentiable function in the second argument and x‘ ¼
ðx‘1 , :::, x‘t Þ> is a vector that contains the values of t explanatory variables. Moreover, we
suppose identifiability, i.e., different b’s imply different g’s, where g ¼ ðg1 , :::, gn Þ> :
Consequently, the derivative matrix X ¼ X ðbÞ ¼ @g=@b> has full rank for all b:
Further, we assume valid the general regularity conditions (Cox and Hinkley 1974) for
the log-likelihood function defined from (1) and (2).
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 3733

Table 1. Some special models.

Model sð/‘ Þ d‘
Normal  log ð/‘ Þ ðy‘  l‘ Þ2
ðy‘ l‘ Þ2
Inverse Gaussian  log ð/‘ Þ
h l2‘ y‘  i
Gamma 2½/‘ log ð/‘ Þ  log Cð/‘ Þ 2 ly‘  log ly‘
‘ ‘

If eðy‘ , /‘ Þ ¼ sð/‘ Þ þ tðy‘ Þ, we can rewrite (1) as

1 
pðy‘ ; h‘ , /‘ Þ ¼ exp f /‘ dðy‘ , h‘ Þ þ sð/‘ Þ þ tðy‘ Þ g, ‘ ¼ 1, :::, n (3)
2
where d‘ ¼ dðy‘ , h‘ Þ ¼ 2½y‘ h‘  bðh‘ Þ  cðy‘ Þ corresponds to the natural exponential
family with canonical parameters /‘ and /‘ h‘ usually called deviance. We assume that
the function sð/‘ Þ has the first four derivatives. Table 1 gives the functions sð/‘ Þ and d‘
for the normal, inverse Gaussian and gamma distributions.
The log-likelihood function for the model defined in (3) given the vector of observa-
tions ðy1 , :::, yn Þ> is
n  
1X 1
Lðb, d, r Þ ¼ 
2
d‘ þ tðy‘ Þ þ sð/‘ Þ , ‘ ¼ 1, :::, n
2 ‘¼1 r2 m‘

For this parametrization, ðd> , r2 Þ> is orthogonal to b, but d and r2 are not orthog-
onal. The orthogonal parametrization for the normal and inverse Gaussian models
(Simonoff and Tsai 1994) takes the form
c
r2 ¼ Qn
ð ‘¼1 m‘ Þ1=n
The log-likelihood function for the reparameterized model can be expressed as
n   
1X q‘ c
Lðb, d, cÞ ¼  d‘ þ tðy‘ Þ þ log , ‘ ¼ 1, :::, n (4)
2 ‘¼1 c q‘
Q
where q‘ ¼ q‘ ðdÞ ¼ ð ns¼1 ms Þ1=n =m‘ : However, for the gamma model, it is very compli-
cated to find an orthogonal reparametrization. For the reparameterized model, the com-
>
ponents of the score vector U ¼ Uðb, d, cÞ ¼ ðU> >
b , Ud , Uc Þ are

~ > U T V1 ðy  lÞ, 1 _> 1>

Ub ¼ X Ud ¼  Q d and Uc ¼ ðUd  1Þ (5)
2c 2c
where U, T and V are n  n diagonal matrices with elements /‘ ¼ q‘ =c, T‘ ¼ dl‘ =dg‘
and V‘ ¼ dl‘ =dh‘ , respectively, Q_ is a n  q matrix with the ‘th row @q‘ =@d> , ‘ ¼
1, :::, n, d ¼ ðd1 , :::, dn Þ> , l ¼ ðl1 , :::, ln Þ> and 1> is an n-vector of ones.
It can be readily shown that: 1) Eðd‘ Þ ¼ c=q‘ ; 2) Varðd‘ Þ ¼ 2c2 =q2‘ ; and 3) EðY‘ d‘ Þ ¼
l‘ ðc=q‘ Þ: These quantities are useful for calculating some cumulants of log-likelihood
derivatives. If m‘ ¼ exp ðz> ‘ dÞ, then q‘ ¼ exp fðz‘   z Þ> dg and the total Fisher infor-
mation matrix can be partioned as
3734 A. B. CAVALCANTI ET AL.

0 1
! X> WUX 0 0
@2L B 1   > C
B 0 ðZ  ZÞðZ  ZÞ 0 C
K ¼ E ¼B 2 C (6)
@w@w> @ n A
0 0
2c2

where w ¼ ðb> , d> , cÞ> is a vector of unknown parameters and 0 are matrices of zeros
with appropriate dimensions.

3. Improved score tests

Our aim is to present a Bartlett-type correction to score statistics in EFNLMs. Suppose
> > > > >
that we partition the b and d vectors, respectively, as ðb> 1 , b2 Þ and ðd1 , d2 Þ , where
> > > >
b> >
1 ¼ ðb1 , :::, bp1 Þ ðp1  pÞ, b2 ¼ ðbp1þ1 , :::, bp Þ , d1 ¼ ðd1 , :::, dq1 Þ ðq1  qÞ and d> 2 ¼
ðdq1þ1 , :::, dq Þ> , thus inducing a partition of the covariates matrices, respectively, as X ¼
ð0Þ ð0Þ
½X1 X2  and Z ¼ ½Z1 Z2 : We want to test the null hypothesis H0 : b1 ¼ b1 , d1 ¼ d1
ð0Þ ð0Þ ð0Þ ð0Þ
versus H1 : b1 6¼ b1 or d1 6¼ d1 , where b1 and d1 are vectors of known con-
stants of dimensions p1 and q1, respectively. The score statistic for testing H0 is given
by SR ¼ U~ >K
~ 1 U,
~ where U is defined in (5) and K in (6).
Following Cordeiro and Ferrari (1991), the Bartlett-type correction to SR has the
form
SR ¼ SR f1  ðc þ bSR þ aS2R Þg (7)
where the coefficients a, b, and c are

A3 ðA2  2A3 Þ ðA1  A2 þ A3 Þ

a¼ , b¼ , c¼ (8)
12ð þ 2Þð þ 4Þ 12ð þ 2Þ 12

and  is the difference between the dimensions of the parameter spaces under the alter-
native and null hypotheses. The coefficients A1, A2 and A3 are functions of some cumu-
lants of log-likelihood derivatives. The general expressions for these coefficients can be
found in Harris (1985) and Ferrari, Cysneiros, and Cribari-Neto (2004). In Appendix A
we present some cumulants that are not usually found in the literature but are import-
ant for the calculation of the A’s.
Consider the matrices Zb ¼ X ðX> WUX Þ1 X> , Zb2 ¼ X2 ðX2 > WUX2 Þ1 X2 > , (for
ð‘Þ
q  pÞ and P2 ¼ diagfp1 , :::, pn g where p‘ ¼ trfX2 ðX2 > WUX2 Þ1 D22 g, and
n @ 2 g o  Dð‘Þ Dð‘Þ 
ð‘Þ ‘ 11 12
D ¼ ¼
@bi @bj ð‘Þ
D21 D22
ð‘Þ

Further, we define C2 ¼ fc‘m g and J2 ¼ fj‘m g, where

ð‘Þ
c‘m ¼ x2m ðX2 > WUX2 Þ1 D22 ðX2 > WUX2 Þ1 x>
2m
ð‘Þ ðmÞ
j‘m ¼ trfD22 ðX2 > WUX2 Þ1 D22 ðX2 > WUX2 Þ1 g
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 3735

and x2m denotes the mth row of X2 : Let F ¼ diagff1 , :::, fn g, G ¼ diagfg1 , :::, gn g, B ¼
diagfb1 , :::, bn g and H ¼ diagfh1 , :::, hn g be diagonal matrices with elements f‘ , g‘ , b‘ and
h‘ , respectively, given by
  2   2  3
1 dl‘ d l‘ 1 dl‘ d l‘ 2 dl‘ dV‘
f‘ ¼ V‘ , g‘ ¼ V‘  V‘ ,
dg‘ dg2‘ dg‘ dg2‘ dg‘ dl‘
 4  ( )
3 dl‘ dV‘ 2 d2 V‘
b‘ ¼ V‘ þ V‘ (9)
dg‘ dl‘ dl2‘

and
   4
dV‘ dl‘ 2 d2 l‘ 2
2 d V‘ dl‘
h‘ ¼ V‘2 þ V‘ (10)
dl‘ dg‘ dg2‘ dl2‘ dg‘

Since m‘ ¼ exp ðz>

‘ dÞ, we obtain q‘ ¼ exp fðz‘  z Þ> dg: We define the
following matrices: Zd ¼ 2ðZ  ZÞ½ðZ   > ðZ  ZÞ
 ZÞ  1 ðZ  ZÞ
 > and Zd2 ¼ 2ðZ2 
 2 Þ½ðZ2  Z
Z  2 Þ> ðZ2  Z
 2 Þ1 ðZ2  Z
 2 Þ> , where U ¼ ð1=cÞQ, and Q ¼ diagfq1 , :::, qn g:
Additionally, we define Zð2Þ ¼ Z  Z, Zð3Þ ¼ Z  Z  Z, where  denotes the
Hadamard product. The subscript d indicates that the diagonal matrix is defined from
the original matrix. Therefore, we can rewrite the A’s in the following forms
A1 ¼ A11 þ A12 þ A13 þ A14 , A2 ¼ A21 þ A22 þ A23 þ A24 and A3 ¼ A31 þ A32

where all terms are defined in Appendix B.1. Now, suppose that we want to test H0 :
ð0Þ ð0Þ
d1 ¼ d1 versus H1 : d1 6¼ d1 : Then, Zb ¼ Zb2 and the coefficients are presented in
ð0Þ
Appendix B.2. Finally, if we are interested in testing H0 : b1 ¼ b1 versus H1 : b1 6¼
ð0Þ
b1 , we can consider Zd ¼ Zd2 and then the coefficients are defined in Appendix B.3.

4. Simulations study
In this section, we present Monte Carlo simulations to compare the performance of the
score test (SR) and its corrected version (SR ) in heteroscedastic exponential family non-
linear models. The simulations are based on the nonlinear regression model
X
p
y‘ ¼ b1 þ exp ðb2 x‘2 Þ þ bi x‘i þ u‘ , ‘ ¼ 1, :::, n
i¼3

where u‘ Nð0, r2 exp fd1 z‘1 þ    þ dq z‘q gÞ and Covðu‘ , um Þ ¼ 0, 8‘ 6¼ m: We consider

the following null hypotheses: H10 : d1 ¼ d2 ¼ 0, for p ¼ 2, 3, 4, 5 and H20 : b1 ¼ b2 ¼ 1,
for q ¼ 1, 2, 4, 5: The response variable was generated assuming: (i) b1 ¼ b2 ¼    ¼
bp ¼ 1, r2 ¼ 1 and d1 ¼ d2 ¼    ¼ dq ¼ 0 (under H10 ) and (ii) b1 ¼ b2 ¼    ¼ bp ¼
1, r2 ¼ 1 and d1 ¼ d2 ¼    ¼ dq ¼ 1 (under H20 ). The explanatory variables were gener-
ated from the uniform distribution on (0, 1) and the matrix Z was obtained using col-
umns 2, :::, q of the matrix X. The observable sample size n was taken equal to 10, 20,
30, 40 and 50. Under each scenario, 10,000 replications were performed and the follow-
ing nominal levels (a) were considered 1%, 5% and 10%. The simulations were carried
3736 A. B. CAVALCANTI ET AL.

Table 2. Null rejection rates for H10 with p ¼ 2, 3, 4, 5 and r ¼ 2.

p¼2 p¼3 p¼4 p¼5
n a Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c
10% 6.11 11.15 5.39 11.08 4.30 12.23 4.49 12.87
10 5% 2.79 5.88 1.89 5.94 1.24 6.99 1.21 7.62
1% 0.30 0.44 0.04 1.03 0.01 1.70 0.01 2.03
10 7.96 10.33 8.37 10.48 5.96 11.06 8.66 11.30
20 5 3.42 5.32 3.73 5.39 3.94 5.52 3.81 5.89
1 0.60 0.78 0.57 1.04 0.56 1.32 0.54 1.45
10 8.17 10.13 8.11 10.25 8.75 10.44 7.87 10.62
30 5 4.26 5.19 4.06 5.15 4.17 5.12 3.79 5.38
1 0.85 1.08 0.81 0.97 0.75 1.00 0.58 1.20
10 8.61 10.07 8.40 10.16 8.96 10.34 8.32 10.37
40 5 4.31 5.06 4.22 5.17 3.75 5.06 4.03 5.17
1 0.85 0.96 0.90 1.05 0.70 1.11 0.82 1.15
10% 8.92 10.04 8.79 10.04 8.49 10.07 9.12 10.14
50 5% 4.43 5.09 4.36 5.06 4.32 5.03 4.35 5.07
1% 1.02 0.91 0.89 0.98 0.95 1.08 1.07 1.04

out using the Ox matrix programing language (Doornik 2007). We shall present the
null rejection rates of SR and SR for the tests of the null hypotheses H10 and H20 : Thus,
we vary p and q to analyze the effect of the number of nuisance parameters on the dif-
ferent tests under the null hypotheses H10 and H20 , respectively.
Table 2 presents results for the null hypothesis H10 with p ¼ 2, 3, 4, 5 and r ¼ 2 (num-
ber of parameters tested). Entries are given as percentages. Note that the original score
test (SR) is conservative for all n. Compared to the SR test, the impact of the number of
nuisance parameters is much less important than for the SR test. For n < 30, the SR test
is markedly more liberal as the number of parameters increases. It is noticeable that, for
n
30, the rejection rates seem not to be affected by increasing the number of parame-
ters. Also, the corrected score statistic gives rejection rates that are closer to the nominal
values than the score statistic.
The figures in Table 3 provide the rejection rates for H20 with q ¼ 1, 2, 4, 5 and r ¼ 2.
As can be seen, for n
30, the rejection rates are not impacted when the number of
nuisance parameters increases. As before, the corrected score test is markedly liberal.
On the other hand, the original score test is conservative, mainly for small sample sizes.
Finally, the corrected version gives rejection rates that are closer to the nominal levels
than the uncorrected version.

5. Application
The constant-elasticity-of-substitution (CES) function (Arrow et al. 1961) is a general-
ization of the Cobb-Douglas function. The CES production function with two inputs (L
and K are the input quantities) and an output quantity (y) is given by
y ¼ a½dLq þ ð1  dÞK q q exp ðÞ
s
(11)
where a > 0 is the parameter that determines the productivity, 0 < d < 1 is the param-
eter that defines the optimal distribution of the inputs, s > 0 is a parameter that meas-
ures the elasticity, q > 1 determines the elasticity of substituion and  is a
random component.
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 3737

Table 3. Null rejection rates for H20 with q ¼ 1, 2, 4, 5 and r ¼ 2.

q¼1 q¼2 q¼4 q¼5
n a Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c Pr½SR
c
10% 6.84 10.83 5.99 11.15 5.99 12.07 4.60 13.86
10 5% 1.76 4.77 2.98 5.18 1.35 6.09 1.26 7.09
1% 0.00 0.50 0.10 1.43 0.00 0.77 0.00 1.13
10 9.01 10.09 7.52 10.58 8.03 11.17 6.89 11.27
20 5 3.63 5.09 2.91 4.83 3.26 5.33 2.68 5.89
1 0.23 0.72 0.22 0.89 8.35 10.57 7.88 10.49
10 8.82 10.33 7.31 9.88 8.35 10.57 7.88 10.49
30 5 3.71 4.89 2.86 4.62 3.40 5.49 3.28 5.56
1 0.40 0.89 0.38 0.82 0.36 1.32 0.34 1.04
10 9.43 10.17 8.51 10.48 9.41 10.26 9.17 10.17
40 5 4.34 5.29 4.08 5.33 4.05 5.25 4.02 5.41
1 0.54 0.96 0.48 1.05 0.43 1.12 0.40 1.16
10% 8.99 9.81 8.28 9.80 9.02 10.13 8.85 10.49
50 5% 4.42 5.18 3.69 4.66 4.03 5.18 3.93 5.23
1% 0.70 1.00 0.57 0.96 0.60 1.17 0.56 1.19

Table 4. Estimates for fit to the manufacturing industry data.

Estimate
Coefficients (Std. Error)
a 1.13
ð0:08Þ
d 0.34
ð0:13Þ
q 3.02
ð2:17Þ
s 1.01
ð0:05Þ
r2 0.06
R2 0.97
Num. obs. 30
p < 0:001, p < 0:01, p < 0:05.

For a random sample of size n and the logarithmic transformation in (11), we have
s
log ðy‘ Þ ¼ b  log f½dLq q
‘ þ ð1  dÞK‘ g þ ‘ , ‘ ¼ 1, :::, n (12)
q
where b ¼ log ðaÞ: We illustrate our methodology with a real-world data set. The data rep-
resent thirty cross-sectional observations on firms in a manufacturing industry. For more
detail about the data, see Griffiths, Hill, and Judge (1993). We use the function cesEst() of
the R package micEconCES (Henningsen and Henningsen 2011) to estimate the CES func-
tion defined in (12) by non-linear least-squares via the Differential Evolution algorithm
(Storn and Price 1997). The R codes employed in this application are available from www.
santosnetoce.com.br/cstm_applications. The estimates are reported in Table 4.
Figure 1 reveals that the residual plot has a pattern which indicates a non-constant
dispersion. Then, based on this figure we propose to test the statistical hypothesis of
constant variance. Let us assume now that r2‘ ¼ r2 exp ðK‘ d1 þ L‘ d2 Þ for ‘ ¼ 1, 2, :::, 30:
Therefore, our goal is to test the null hypothesis H0 : dj ¼ 0 for all j 2 f1, 2g versus
H1 : dj 6¼ 0 for at least one j: For this, we use the original score test and the corrected
score test. The figures in Table 5 show that there is statistically significant evidence that
the variance is non-constant. Thus, we can note that the corrected score test increases
3738 A. B. CAVALCANTI ET AL.

0.3

Residuals 0.2

0.1

0.0

0 10 20 30
Observations
Figure 1. Plot of the squared residuals versus the index of the observations.

Table 5. Original and corrected score statistics.

Statistics Value p-value (%)
SR 14.24 0.081
SR 34.26 <0.001

this evidence. The p-value for the corrected score statistic is now reduced
to 3:63526  108 ð< 0:001%Þ:

6. Concluding remarks
In this paper we present Bartlett corrections to improve hypothesis tests based on the
score statistic in the exponential family nonlinear models with varying dispersion. The
Bartlett-type corrections for the score statistic to test the mean and dispersion parame-
ters have been developed for the normal and inverse Gaussian models. Numerical simu-
lations showed that the original score test may display substantial size distortions. They
also show that the corrected version displays much smaller size distortions than the ori-
ginal score test. Therefore, these simulations reveal that the corrected test should be
preferred since it presented the best performance for testing hypotheses in this class of
models. Thus, we encourage practitioners to use this test in applications.

Acknowledgments
This paper is based on part of Cavalcanti’s doctoral thesis submitted to the Instituto de
Matem
atica e Estat
ıstica, Universidade de S~ao Paulo, under the supervision of the second author.
The authors thank the Editors and referees for their constructive comments on an earlier version
of this manuscript which resulted in this improved version. Also, we thank Prof. Dr. Michelli
Barros (UFCG) for valuable help in simulation program.
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 3739

Funding
This study was financed in part by the Coordenaç~ao de Aperfeiçoamento de Pessoal de N
ıvel
Superior - Brasil (CAPES) - Finance Code 001 and Conselho Nacional de Desenvolvimento
Cient
ıfico e Tecnol
ogico (CNPq) [grant number 303133/2014-7].

ORCID
Denise A. Botter http://orcid.org/0000-0002-6537-6151
Manoel Santos-Neto http://orcid.org/0000-0002-9007-0680
Gauss M. Cordeiro http://orcid.org/0000-0002-3052-6551

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Appendix
A. Cumulants of log-likelihood derivatives in exponential family
nonlinear models
Let L ¼ Lðb, d, cÞ be the log-likelihood (4). We hall use the standard notation for joint cumulants of
log-likelihood derivatives, i.e., jrs ¼ Eð@ 2 L=@br @bs Þ, jr, s ¼ Eð@L=@br @L=@bs Þ, jrst ¼ Eð@ 3 L=@br
ðtÞ
@bs @bt Þ, jr, s, t ¼ Eð@L=@br @L=@bs @L=@bt Þ, jr, st ¼ Eð@L=@br @ 2 L=@bs @bt Þ, jrs ¼ @jrs =@bt ,
and so on. We obtain the following cumulants:
1X n
1X n
q‘RS n
jrs ¼  x q‘ w‘ x‘s

, jRS ¼  , jcc ¼  , jrS ¼ jrc ¼ jRc ¼ 0
c ‘¼1 ‘r 2 ‘¼1 q‘ 2c2
where x‘r ¼ @g‘ =@br and q‘RS ¼ @ 2 q‘ =@dR @dS , for r ¼ 1, :::, p and R, S ¼ 1, :::, q: The third-order
cumulants are
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 3741

1X n
         2n
jrst ¼  fq‘ ðf‘ þ 2g‘ Þx‘r x‘s x‘t þ q‘ w‘ ðx‘rs x‘t þ x‘rt x‘s þ x‘st x‘r Þg, jccc ¼ ,
c ‘¼1 c3
1X n
q‘RST 1X n
1X n
jRST ¼  , jrsT ¼  x q‘ w‘ x‘s

, jrsc ¼ x q‘ w‘ x‘s

2 ‘¼1 q‘ c ‘¼1 ‘r T c2 ‘¼1 ‘r
1X n
q‘RS n n 1X n
q‘RS
jRSc ¼ , jc, cc ¼  , jc, c, c ¼ , jc, RS ¼ 
2c ‘¼1 q‘ c3 c3 2c ‘¼1 q‘
1X n
  
jRcc ¼ jrcc ¼ jRSt ¼ jrSc ¼ 0, jr, s, t ¼
q‘ ðf‘  g‘ Þx‘r x‘s x‘t ,
c ‘¼1
n n
1X q‘RST q‘ q‘ q‘ q‘ q‘ q‘ o 1X n
jR, S, T ¼  RS 2 T  RT2 S  ST 2 R , jr, s, T ¼  q‘ x x w‘ ,
2 ‘¼1 q‘ q‘ q‘ q‘ c ‘¼1 T ‘r ‘s
1X n
1X n
q‘RS
jr, s, c ¼ q‘ x x w‘ , jR, S, c ¼ , jr, S, c ¼ jr, c, c ¼ jr, S, T ¼ jR, c, c ¼ 0,
c2 ‘¼1 ‘r ‘s c ‘¼1 q‘
1X n
     1X n
q‘R q‘ST
jr, st ¼ q‘ ðg‘ x‘r x‘s x‘t þ w‘ x‘r x‘st Þ, jR, ST ¼ ,
c ‘¼1 2 ‘¼1 q2‘
1X n
1X n
1X n
q‘R q‘S
jr, sT ¼ x q‘ w‘ x‘s

, jr, sc ¼  q‘ x x w‘ , jR, Sc ¼  ,
c ‘¼1 ‘r T c2 ‘¼1 ‘r ‘s 2c ‘¼1 q2‘
jr, ST ¼ jr, Sc ¼ jr, cc ¼ jR, st ¼ jR, St ¼ jR, sc ¼ jR, cc ¼ jc, rs ¼ jc, rS ¼ jc, cr ¼ jc, cR ¼ 0

where x‘rs ¼ @ 2 g‘ =@br @bs , q‘RST ¼ @ 3 q‘ =@dR @dS @dT , for r, s, t ¼ 1, :::, p and R, S, T ¼ 1:::, q and
the quantities q‘ , f‘ and g‘ , ‘ ¼ 1, :::, n, are defined by Equations (4) and (9), respectively.
Further, the fourth-order cumulants are given by
("   2  2    3 #
1X n
@2w @ l @ h @l @ h
jrstu ¼ q‘ þ þ2 x‘r x‘s x‘t x‘u
c ‘¼1 @g2 @g2 @g2 @g @g3
‘

þ w‘ ðx‘
rst
x‘u þ x‘ x
rsu ‘t
þ x‘ x
rut ‘s
þ x‘ x
ust ‘r
þ x‘rs x‘tu þ x‘rt x‘su þ x‘ru x‘st Þ

þ ðx‘rs x‘t x‘u þ x‘ts x‘r x‘u þ x‘us x‘r x‘t þ x‘ru x‘s x‘t þ x‘tu x‘r x‘s þ x‘rt x‘s x‘u Þ
"      # )
@l @ 2 h @h @ 2 l
 2 þ ,
@g @g2 @g @g2
‘

1X
n
q‘ 1Xn
q‘RS 1X n
jRSTU ¼  RSTU
, jRScc ¼ 2 jr, s, t, u ¼ q‘ b‘ x‘r x‘s x‘t x‘u ,
2 ‘¼1
q‘ c ‘¼1 q‘ c ‘¼1
n 
1X q‘RSTU q‘RST q‘U q‘RSU q‘T q‘RTU q‘S q‘STU q‘R
jR, S, T , U ¼    
2 ‘¼1 q‘ q2‘ q2‘ q2‘ q2‘
2q‘R q‘S q‘TU 2q‘R q‘T q‘SU 2q‘R q‘U q‘ST 2q‘S q‘T q‘RU
þ þ þ þ
q3‘ q3‘ q3‘ q3‘

2q‘S q‘U q‘RT 2q‘T q‘U q‘RS q‘RS q‘TU q‘RT q‘SU q‘RU q‘ST
þ þ    ,
q3‘ q3‘ q2‘ q2‘ q2‘
3742 A. B. CAVALCANTI ET AL.

2X n
q‘ q‘ 2X n
3X n
q‘RS
jr, s, T , U ¼ q‘ w‘ x‘r x‘s T 2 U , jr, s, c, c ¼ q‘ w‘ x‘r x‘s , jR, S, c, c ¼ ,
c ‘¼1 q‘ c3 ‘¼1 c2 ‘¼1 q‘

1X n
2X n
q‘RS
jr, s, tu ¼ q‘ fðh‘  b‘ Þx‘r x‘s x‘t x‘u þ ðf‘  g‘ Þx‘r x‘s x‘tu g, jR, S, cc ¼  ,
c ‘¼1 c2 ‘¼1 q‘
X n
q‘R q‘S q‘TU 1X n
2X n
jR, S, TU ¼  , jr, s, TU ¼  w‘ x‘r x‘s q‘TU , jr, s, cc ¼  q‘ w‘ x‘r x‘s
‘¼1
q3‘ c ‘¼1 3
c ‘¼1

where x‘rst ¼ @ 3 g‘ =@br @bs bt , q‘RSTU ¼ @ 4 q‘ =@dR @dS @dT @dU , for r, s, t, u ¼ 1, :::, p and R, S, T, U ¼
1, :::, q, and the quantities b‘ and h‘ defined by Equations (9) and (10), respectively.
The equation m‘ ¼ exp ðz‘> dÞ gives q‘ ¼ exp fðz‘  z Þ> dg, q‘R ¼ ðz‘  z ÞR exp fðz‘ 
>
z Þ dg ¼ ðz‘  z ÞR q‘ , q‘RS ¼ ðz‘  z ÞRS q‘ , q‘RST ¼ ðz‘  z ÞRST q‘ and q‘RSTU ¼ ðz‘  z ÞRSTU q‘ ,
where ðz‘  z ÞR ¼ z‘R  z R , ðz‘  z ÞRS ¼ ðz‘R  z R Þðz‘S  z S Þ and so on, gives z ¼ ðz 1 , :::, z q Þ>
P
and z R ¼ ð1=nÞ n‘¼1 z‘R , for R ¼ 1, :::, q: Thus we obtain the following cumulants
1X n
1X n
jRS ¼  ðz‘  z ÞRS jRST ¼ ðz‘  z ÞRST ,
2 ‘¼1 2 ‘¼1
1X n
1X n
jrsT ¼ x w‘ x‘s

ðz‘  z ÞT q‘ , jRSc ¼ ðz‘  z ÞRS ,
c ‘¼1 ‘r 2c ‘¼1
X
n
1X n
 
jR, S, T ¼ ðz‘  z ÞRST , jr, s, T ¼ ðz‘  z ÞR q‘ x‘r x‘s w‘ ,
‘¼1
c ‘¼1
1X n
1X n
jR, S, c ¼ ðz‘  z ÞRS , jr, sT ¼  x w‘ x‘s

ðz‘  z ÞT q‘ ,
c ‘¼1
c ‘¼1 ‘r
1X n
1X n
jR, ST ¼  ðz‘  z ÞRST , jR, Sc ¼  ðz‘  z ÞRS ,
2 ‘¼1 2c ‘¼1
1X n
1X n
jc, RS ¼  ðz‘  z ÞRS , jc, RS ¼  ðz‘  z ÞRS ,
2c ‘¼1 2c ‘¼1
1X n
1X n
jRSTU ¼  ðz‘  z ÞRSTU , jRScc ¼  ðz‘  z ÞRS ,
2 ‘¼1 c2 ‘¼1
X
n
2X n
jR, S, T , U ¼ 3 ðz‘  z ÞRSTU , jr, s, T , U ¼ q‘ w‘ x‘r x‘s ðz‘  z ÞTU ,
‘¼1
c ‘¼1
3 Xn X
n
jR, S, c, c ¼ 2 ðz‘  z ÞRS , jR, S, TU ¼  ðz‘  z ÞRSTU ,
c ‘¼1 ‘¼1
1Xn
2X n
jr, s, TU ¼  w‘ x‘r x‘s ðz‘  z ÞTU q‘ , jR, S, cc ¼  ðz‘  z ÞRS
c ‘¼1
c2 ‘¼1

B. Cumulants for the Bartlett correction factor

B.1. Tests for components of b and d

ð0Þ ð0Þ
Suppose that we want to test the null hypothesis H0 : b1 ¼ b1 , d1 ¼ d1 versus H1 : b1 6¼
ð0Þ ð0Þ
b1 or d1 ¼6 d1 : Then, the coefficients for the Bartlett-type corrections can be expressed terms
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 3743

A11 ¼ 31> UFZb2d ðZb  Zb2 ÞZb2d FU1 þ 61> UWP2 ðZb  Zb2 ÞZb2d FU1
þ 31> UWP2 ðZb  Zb2 ÞP2 WU1 þ 31> UWZb2d ðZd  Zd2 ÞZd2d 1
3
þ 31> UWZb2d ðZd  Zd2 ÞZb2d WU1 þ 1> Zd2d ðZd  Zd2 ÞZd2d 1,
4
A12 ¼ 61> UFZb2d Zb2 ðZb  Zb2 Þd ðF  GÞU1 þ 61> UWP2 Zb2 ðZb  Zb2 Þd ðF  GÞU1
þ 61> UWZb2d Zd2 ðZb  Zb2 Þd WU1 þ 61> UWZb2d Zd2 ðZd  Zd2 Þd 1
12 12
þ 1> UWZb2d ðZb  Zb2 Þd WU1 þ 1> UWZb2d ðZd  Zd2 Þd 1
n n
þ 31> Zd2d Zd2 ðZb  Zb2 Þd WU1 þ 31> Zd2d Zd2 ðZd  Zd2 Þd 1
6 6
þ 1> Zd2d ðZb  Zb2 Þd WU1 þ 1> Zd2d ðZd  Zd2 Þd 1,
n n
ð2Þ  
A13 ¼ 61> Uð2G  FÞ½Zb 2  ðZb  Zb2 ÞFU1  61> UW ðZb  Zb2 Þ  J2 WU1
9 > ð2Þ
 61> UW½ðZb  Zb2 Þ  C> 2 FU1 þ 1 ½Zd 2  ðZd  Zd2 Þ1
2
  18
 61> Uð2G  FÞ ðZb  Zb2 Þ  C2 WU1 þ 1> ½Zd2  ðZd  Zd2 Þ1
n
> ð2Þ >
 
þ 61 UW½ðZd  Zd2 Þ  Zb 2 WU1 þ 121 UW ðZb  Zb2 Þ  Zb2 Zd2 WU1,
A14 ¼ 121> UWZb2d ðZd  Zd2 Þd 1  61> UHðZb  Zb2 Þd Zb2d 1
 121> ðZd  Zd2 Þd Zd2d 1  61> UWðZb  Zb2 Þd Zd2d 1
12
 61> UðF  GÞP2 ðZb  Zb2 Þd 1  1> ðZd  Zd2 Þd 1,
n
6  2
A21 ¼ 31> UðF  GÞðZb  Zb2 Þd Zb2 ðZb  Zb2 Þd ðF  GÞU1  1> ðZd  Zd2 Þd 1
n
 31> UWðZb  Zb2 Þd Zd2 ðZd  Zd2 Þd 1  31> ðZd  Zd2 Þd Zd2 ðZb  Zb2 Þd WU1
12
 1> UWðZb  Zb2 Þd ðZd  Zd2 Þd 1  31> ðZd  Zd2 Þd Zd2 ðZd  Zd2 Þd 1
n
6  2
 31> UWðZb  Zb2 Þd Zd2 ðZb  Zb2 Þd 1  1> UWðZb  Zb2 Þd 1,
n
A22 ¼ 61> UFZb2d ðZb  Zb2 ÞðZb  Zb2 Þd ðF  GÞU1
 61> UWZb2d ðZd  Zd2 ÞðZb  Zb2 Þd WU1 þ 61> UWZb2d ðZd  Zd2 ÞðZd  Zd2 Þd 1
 31> UWZd2d ðZd  Zd2 ÞðZb  Zb2 Þd 1  31> Zd2d ðZd  Zd2 ÞðZd  Zd2 Þd 1
 61> UWP2 ðZb  Zb2 ÞðZb  Zb2 Þd ðF  GÞU1,
12 >
A23 ¼ 61> UðF  GÞ½Zb2  ðZb  Zb2 Þð2Þ ðF  GÞU1  1 ½ðZd  Zd2 Þð2Þ 1
n
 61> UW½Zd2  ðZb  Zb2 Þð2Þ WU1  61> ½Zd2  ðZd  Zd2 Þð2Þ 1
  12
 121> UW Zb2  ðZb  Zb2 Þ  ðZd  Zd2 Þ WU1  1> UW½ðZb  Zb2 Þð2Þ WU1,
n
A24 ¼ 31> UBðZb  Zb2 Þ2d 1 þ 121> UWðZd  Zd2 Þd ðZb  Zb2 Þd 1 þ 91> ðZd  Zd2 Þ2d 1,
3744 A. B. CAVALCANTI ET AL.

A31 ¼ 31> UðF  GÞðZb  Zb2 Þd ðZb  Zb2 ÞðZb  Zb2 Þd ðF  GÞU1
þ 31> ðZd  Zd2 Þd ðZd  Zd2 ÞðZd  Zd2 Þd 1 þ 61> UWðZb  Zb2 Þd ðZd  Zd2 ÞðZd  Zd2 Þd 1
þ 31> UWðZb  Zb2 Þd ðZd  Zd2 ÞðZb  Zb2 Þd WU1,
A32 ¼ 21> UðF  GÞ½ðZb  Zb2 Þð3Þ ðF  GÞU1 þ 21> ½ðZd  Zd2 Þð3Þ 1
þ 61> UW½ðZd  Zd2 Þ  ðZb  Zb2 Þð2Þ WU1

B.2. Tests for components of d

ð0Þ ð0Þ
Here, suppose that we want to test the null hypothesis H0 : d1 ¼ d1 , versus H1 : d1 6¼ d1 : In
this situation, just consider Zb ¼ Zb2 and then the coefficients of the corrected score reduce to

A11 ¼ 31> UWZbd ðZd  Zd2 ÞZd2d 1 þ 31> UWZbd ðZd  Zd2 ÞZbd WU1
3
þ 1> Zd2d ðZd  Zd2 ÞZd2d 1,
4
12
A12 ¼ 61> UWZbd Zd2 ðZd  Zd2 Þd 1 þ 1> UWZbd ðZd  Zd2 Þd 1
n
6
þ 31> Zd2d Zd2 ðZd  Zd2 Þd 1 þ 1> Zd2d ðZd  Zd2 Þd 1,
n
9 > ð2Þ 18 >
A13 ¼ 1 ½Zd 2  ðZd  Zd2 Þ1 þ 1 ½Zd2  ðZd  Zd2 Þ1
2 n
þ 61> UW½ðZd  Zd2 Þ  Zb ð2Þ WU1,
12
A14 ¼ 121> UWZbd ðZd  Zd2 Þd 1  121> ðZd  Zd2 Þd Zd2d 1  1> ðZd  Zd2 Þd 1,
n
6 > 2 >
A21 ¼  1 ðZd  Zd2 Þd 1  31 ðZd  Zd2 Þd Zd2 ðZd  Zd2 Þd 1,
n
A22 ¼ 61> UWZbd ðZd  Zd2 ÞðZd  Zd2 Þd 1  31> Zd2d ðZd  Zd2 ÞðZd  Zd2 Þd 1,
12
A23 ¼  1> ½ðZd  Zd2 Þð2Þ 1  61> ½Zd2  ðZd  Zd2 Þð2Þ 1,
n
A24 ¼ 91> ðZd  Zd2 Þ2d 1,
A31 ¼ 31> ðZd  Zd2 Þd ðZd  Zd2 ÞðZd  Zd2 Þd 1,
A32 ¼ 21> ½ðZd  Zd2 Þð3Þ 1

Further, for testing all the components of d, we have Zd2 ¼ 0: Hence,

12 >
A11 ¼ 31> UWZbd Zd Zbd WU1, A12 ¼ 1 UWZbd Zdd 1,
n
12 >
A13 ¼ 61> UW½Zd  Zb ð2Þ WU1, A14 ¼ 121> UWZbd Zdd 1  1 Zdd 1,
n
6 12
A21 ¼  1> ½Zdd 2 1, A22 ¼ 61> UWZbd Zd Zdd 1, A23 ¼  1> ½Zd ð2Þ 1,
n n
A24 ¼ 91> Zd 2d 1, A31 ¼ 31> Zdd Zd Zdd 1, A32 ¼ 21> ½Zd ð3Þ 1
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 3745

B.3. Tests for components of b

ð0Þ ð0Þ
Finally, suppose that we want to test the null hypothesis H0 : b1 ¼ b1 versus H1 : b1 6¼ b1 : If
we consider Zd ¼ Zd2 , then the coefficients of the corrected score statistic are
A11 ¼ 31> UFZb2d ðZb  Zb2 ÞZb2d FU1 þ 61> UWP2 ðZb  Zb2 ÞZb2d FU1
þ 31> UWP2 ðZb  Zb2 ÞP2 WU1,
A12 ¼ 61> UFZb2d Zb2 ðZb  Zb2 Þd ðF  GÞU1 þ 61> UWP2 Zb2 ðZb  Zb2 Þd ðF  GÞU1
12
þ 61> UWZb2d Zd ðZb  Zb2 Þd WU1 þ 1> UWZb2d ðZb  Zb2 Þd WU1
n
6
þ 31> Zdd Zd ðZb  Zb2 Þd WU1 þ 1> Zdd ðZb  Zb2 Þd WU1,
h n i
ð2Þ  
A13 ¼ 61 Uð2G  FÞ Zb 2  ðZb  Zb2 Þ FU1  61> UW ðZb  Zb2 Þ  J2 WU1
>
   
 61> UW ðZb  Zb2 Þ  C> >
2 FU1  61 Uð2G  FÞ ðZb  Zb2 Þ  C2 WU1
 
þ 121> UW ðZb  Zb2 Þ  Zb2 Zd WU1,
A14 ¼ 61> UHðZb  Zb2 Þd Zb2d 1  61> UWðZb  Zb2 Þd Zdd 1
 61> UðF  GÞP2 ðZb  Zb2 Þd 1,
A21 ¼ 31> UðF  GÞðZb  Zb2 Þd Zb2 ðZb  Zb2 Þd ðF  GÞU1
6  2
 31> UWðZb  Zb2 Þd Zd ðZb  Zb2 Þd 1  1> UWðZb  Zb2 Þd 1,
n
A22 ¼ 61> UFZb2d ðZb  Zb2 ÞðZb  Zb2 Þd ðF  GÞU1
 61> UWP2 ðZb  Zb2 ÞðZb  Zb2 Þd ðF  GÞU1,
A23 ¼ 61> UðF  GÞ½Zb2  ðZb  Zb2 Þð2Þ ðF  GÞU1
h i
> ð2Þ
 61 UW Zd  ðZb  Zb2 Þ WU1
12 >
 1 UW½ðZb  Zb2 Þð2Þ WU1,
n
A24 ¼ 31> UBðZb  Zb2 Þ2d 1,
A31 ¼ 31> UðF  GÞðZb  Zb2 Þd ðZb  Zb2 ÞðZb  Zb2 Þd ðF  GÞU1,
h i
A32 ¼ 21> UðF  GÞ ðZb  Zb2 Þð3Þ ðF  GÞU1
Finally, for testing all the components of b, we have Zb2 ¼ P2 ¼ C2 ¼ J2 ¼ 0: Hence,
6
A11 ¼ A13 ¼ A22 ¼ 0, A12 ¼ 3 1> Zdd Zd Zbd W U 1 þ 1> Zdd Zbd W U 1,
n
6
A14 ¼ 6 1> U W Zbd Zdd 1, A21 ¼ 3 1> U W Zbd Zd Zbd 1  1> ½U W Zbd 2 1,
n
12 > h i
A23 ¼ 6 1> U W ½Zd  Zb ð2Þ  W U 1  1 U W Zb ð2Þ W U 1, A24 ¼ 3 1> U B Zb 2d 1,
n
A31 ¼ 3 1> U ðF  GÞ Zbd Zb Zbd ðF  GÞ U 1, A32 ¼ 2 1> U ðF  GÞ Zb ð3Þ ðF  GÞ U 1