Theory & Methods: Testing for Homogeneity in an Exponential Mixture Model
Karl Clemens Mosler, Wilfried Seidel · Australian & New Zealand Journal of Statistics · 2001
This paper studies diagnostic procedures to test for homogeneity against unobserved heterogeneity in an exponential mixture model. The procedures include a dispersion score test, a likelihood ratio test, a moment likelihood approach and several goodness‐of‐fit tests. The paper compares the empirical power of these tests on a broad range of alternatives and proposes a new test that combines the dispersion score test with a properly chosen goodness‐of‐fit procedure; its empirical power comes close to the power of the best of the other tests.