Asymptotic Variance of Test Statistics in ML and QML Frameworks

Abstract

In this study, we consider the test statistics that can be written as the sample average of data and derive their limiting distribution under the maximum likelihood (ML) and the quasi-maximum likelihood (QML) frameworks. We first generalize the asymptotic variance formula suggested in Pierce (1982) in the ML framework and illustrate its applications through some well-known test statistics: (i) the skewness statistic, (ii) the kurtosis statistic, (iii) the Cox statistic, (iv) the information matrix test statistic, and (v) the Durbin's h-statistic. We next provide a similar result in the QML setting and illustrate its applications by providing two examples. Illustrations show the simplicity and the effectiveness of our results for the asymptotic variance of test statistics, and therefore, they are recommended for practical applications.