The Information Matrix Test for the Linear Model

DOI10.2307/2297515MaRDI QIDQ3799533zbMATH OpenOpenAlexFDO

Authors Alastair Hall

Publication date 1987

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL http://ageconsearch.umn.edu/record/269193

zbMATH Keywords

residualsserial correlationskewnessinformation matrix testquadratic formstest for heteroscedasticitynon-normal kurtosisnormal fixed regressor linear modeltest of misspecification

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

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Cited in

(18)

• Testing for Neglected Heterogeneity
• A test for bivariate normality with applications in microeconometric models
• Hypothesis testing based on a vector of statistics
• The size bias of White's information matrix test
• Misspecification tests and their uses in econometrics
• Beta regression misspecification tests
• A note on the score test for neglected heterogeneity in the truncated normal regression model
• Testing the information matrix equality with robust estimators
• The Covariance Matrix of the Information Matrix Test
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• On the calculation of the information matrix test in the normal linear regression model
• The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power
• Pythagorean generalization of testing the equality of two symmetric positive definite matrices
• The information matrix test with bootstrap-based covariance matrix estimation
• A New Form of the Information Matrix Test
• Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis
• Tests of linear hypotheses using indirect information
• The information matrix test in the linear regression with ARMA errors

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