Published in The Review of Economics and Statistics, Volume 79, Issue 2, May 1, 1997, pages 340-343.
NOTE: At the time of publication, the author Sanjiv Jaggia was not yet affiliated with Cal Poly.
The definitive version is available at https://doi.org/10.1162/003465397556728.
Different versions of the score test for neglected heterogeneity for a right censored exponential model are analyzed. These tests depend on how the information matrix is estimated. A test based on the theoretical information matrix is derived that is shown to outperform all the other tests. Further, the noncentrality parameter of the test is examined to show how the power of the test is reduced when data are censored.
1997 The MIT Press.