Asymptotic Expansions of the Information Matrix Test Statistic

heterogeneity heteroskedasticity specification tests asymptotic expansions Monte Carlo experiments nonnormality score tests Edgeworth expansions Cornish-Fisher expansions microeconometrics information matrix tests

Mathematics Subject Classification ID

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

Cited In (33)

Asymptotic expansions and the reliability of tests in accelerated failure time models
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Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models
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Robust parametric tests of constant conditional correlation in a MGARCH model
A goodness-of-fit test for copulas
The second-order bias and mean squared error of estimators in time-series models
Beta regression misspecification tests
On Testing Sample Selection Bias Under the Multicollinearity Problem
A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models
A comparison of tests for overdispersion in generalized linear models
Estimation of Type 3 Tobit models using symmetric trimming and pairwise comparisons
Neyman's \({\mathrm C}(\alpha)\) test for unobserved heterogeneity
Test of misspecification with application to negative binomial distribution
On improving the robustness and reliability of Rao's score test
TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
Corrected score tests for exponential censored data
Testing the information matrix equality with robust estimators
Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
Specification tests based on MCMC output
Pythagorean generalization of testing the equality of two symmetric positive definite matrices
The information matrix test with bootstrap-based covariance matrix estimation
Computer algebra in probability and statistics
The second-order bias and mean squared error of nonlinear estimators
On the corrections to information matrix tests
The information matrix test in the linear regression with ARMA errors
Simulated conditional moment tests
A goodness-of-fit test for regular vine copula models
Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗

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