A New Form of the Information Matrix Test

DOI10.2307/2951680MaRDI QIDQ4006259zbMATH OpenOpenAlexFDO

Authors Russell Davidson, James G. Mackinnon

Publication date 26 September 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2951680

zbMATH Keywords

double-length artificial regressioninformation matrix testMonte Carlo experimentsspecification teststochastic expansion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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(21)

• Specification tests based on MCMC output
• Duration response measurement error
• Misspecification tests and their uses in econometrics
• Specification test for a linear regression model with ARCH process
• The information matrix test with bootstrap-based covariance matrix estimation
• Hypothesis testing based on a vector of statistics
• Test of misspecification with application to negative binomial distribution
• A test for bivariate normality with applications in microeconometric models
• Testing normality: a GMM approach
• The Information Matrix Test for the Linear Model
• On the corrections to information matrix tests
• The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power
• A unified approach to proving parametric bootstrap consistency for some goodness-of-fit tests
• A goodness-of-fit test for copulas
• Testing the equality of two positive-definite matrices with application to information matrix testing
• On improving the robustness and reliability of Rao's score test
• Testing for the appropriate level of clustering in linear regression models
• Specification testing for binary choice model via maximum score
• Information theory for maximum likelihood estimation of diffusion models
• The size bias of White's information matrix test
• On the calculation of the information matrix test in the normal linear regression model

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