Asymptotic Expansions of the Information Matrix Test Statistic

DOI10.2307/2938228MaRDI QIDQ3353967zbMATH OpenOpenAlexFDO

Authors 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

heterogeneityheteroskedasticityspecification testsasymptotic expansionsMonte Carlo experimentsnonnormalityscore testsEdgeworth expansionsCornish-Fisher expansionsmicroeconometricsinformation matrix tests

Mathematics Subject Classification ID

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

Cited in

(33)

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

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