The information matrix test with bootstrap-based covariance matrix estimation
From MaRDI portal
Publication:1927438
DOI10.1016/j.econlet.2003.09.002zbMath1255.62014MaRDI QIDQ1927438
Publication date: 1 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/bitstream/123456789/121580/1/Dps0211.pdf
62H12: Estimation in multivariate analysis
62F40: Bootstrap, jackknife and other resampling methods
65C05: Monte Carlo methods
62B10: Statistical aspects of information-theoretic topics
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Cites Work
- Simulated conditional moment tests
- The size bias of White's information matrix test
- Asymptotic Expansions of the Information Matrix Test Statistic
- The Covariance Matrix of the Information Matrix Test
- The Information Matrix Test for the Linear Model
- A New Form of the Information Matrix Test
- Maximum Likelihood Estimation of Misspecified Models