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arXiv · 2406.19956

Three Scores and 15 Years (1948-2023) of Rao's Score Test: A Brief History

Anil K. Bera·Yannis Bilias
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Abstract

Rao (1948) introduced the score test statistic as an alternative to the likelihood ratio and Wald test statistics. In spite of the optimality properties of the score statistic shown in Rao and Poti (1946), the Rao score (RS) test remained unnoticed for almost 20 years. Today, the RS test is part of the ``Holy Trinity'' of hypothesis testing and has found its place in the Statistics and Econometrics textbooks and related software. Reviewing the history of the RS test we note that remarkable test statistics proposed in the literature earlier or around the time of Rao (1948) mostly from intuition, such as Pearson (1900) goodness-fit-test, Moran (1948) I test for spatial dependence and Durbin and Watson (1950) test for serial correlation, can be given RS test statistic interpretation. At the same time, recent developments in the robust hypothesis testing under certain forms of misspecification, make the RS test an active area of research in Statistics and Econometrics. From our brief account of the history the RS test we conclude that its impact in science goes far beyond its calendar starting point with promising future research activities for many years to come.

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Anil K. Bera, Yannis Bilias. 2024-10-06. Three Scores and 15 Years (1948-2023) of Rao's Score Test: A Brief History. https://arxiv.org/abs/2406.19956

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