The Covariance Matrix of the Information Matrix Test

DOI10.2307/1911198MaRDI QIDQ3678543zbMATH OpenOpenAlexFDO

Authors Tony Lancaster

Publication date 1984

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911198

zbMATH Keywords

covariance matrixinformation matrix test

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Applications of statistics to economics (62P20)

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Cited in

(38)

• Score tests for zero covariances in recursive linear models for grouped or censored data
• Testing the normality assumption in multivariate simultaneous limited dependent variable models
• A unified framework for connectionist systems
• Diagnostic testing and evaluation of maximum likelihood models
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Specification tests based on MCMC output
• Misspecification tests and their uses in econometrics
• Specification test for a linear regression model with ARCH process
• The information matrix test with bootstrap-based covariance matrix estimation
• Hypothesis testing based on a vector of statistics
• A test for bivariate normality with applications in microeconometric models
• Realized BEKK-CAW models
• Multivariate fractional regression estimation of econometric share models
• Geometry in Canonical Correlations
• Local sensitivity and diagnostic tests
• The information matrix test in the linear regression with ARMA errors
• The Information Matrix Test for the Linear Model
• A New Form of the Information Matrix Test
• Specification tests in ordered logit and probit models
• The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power
• Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
• A goodness-of-fit test for copulas
• Testing the equality of two positive-definite matrices with application to information matrix testing
• A goodness-of-fit test for regular vine copula models
• A multifactor transformed diffusion model with applications to VIX and VIX futures
• On improving the robustness and reliability of Rao's score test
• Beta regression misspecification tests
• Corrigendum to Maximum Likelihood Estimation of the Multivariate Normal Mixture Model
• Testing distributional assumptions in CUB models for the analysis of rating data
• Test of neglected heterogeneity in dyadic models
• Information matrix tests for multinomial logit models
• Specification testing for binary choice model via maximum score
• The information matrix test for Gaussian mixtures
• Testing for unobserved heterogeneity in exponential and Weibull duration models
• HAC estimation and strong linearity testing in weak ARMA models
• Information theory for maximum likelihood estimation of diffusion models
• The size bias of White's information matrix test
• On the calculation of the information matrix test in the normal linear regression model

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