Asymptotic Expansions of the Information Matrix Test Statistic

DOI10.2307/2938228zbMath0729.62013OpenAlexW1966387697MaRDI QIDQ3353967

Andrew Chesher, Richard Spady

Publication date: 1991

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938228

zbMATH Keywords

heterogeneityasymptotic expansionsEdgeworth expansionsscore testsspecification testsheteroskedasticityMonte Carlo experimentsnonnormalityCornish-Fisher expansionsmicroeconometricsinformation matrix tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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