Asymptotic Expansions of the Information Matrix Test Statistic

DOI10.2307/2938228zbMath0729.62013MaRDI 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

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

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62E20: Asymptotic distribution theory in statistics

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