A New Form of the Information Matrix Test

DOI10.2307/2951680zbMath0744.62150OpenAlexW2740469095MaRDI QIDQ4006259

James G. MacKinnon, Russell Davidson

Publication date: 26 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951680

zbMATH Keywords

stochastic expansioninformation matrix testspecification testMonte Carlo experimentsdouble-length artificial regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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