The information matrix test with bootstrap-based covariance matrix estimation

DOI10.1016/J.ECONLET.2003.09.002MaRDI QIDQ1927438zbMATH OpenOpenAlexFDO

Authors Geert Dhaene, Dirk Hoorelbeke

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://lirias.kuleuven.be/bitstream/123456789/121580/1/Dps0211.pdf

zbMATH Keywords

parametric bootstrap

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bootstrap, jackknife and other resampling methods (62F40) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)

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Cites work

• A New Form of the Information Matrix Test
• Asymptotic Expansions of the Information Matrix Test Statistic
• Maximum Likelihood Estimation of Misspecified Models
• Simulated conditional moment tests
• The Covariance Matrix of the Information Matrix Test
• The Information Matrix Test for the Linear Model
• The size bias of White's information matrix test

Cited in

(13)

• Tests of covariance matrix by using projection pursuit and bootstrap method
• Pythagorean generalization of testing the equality of two symmetric positive definite matrices
• Hypothesis testing based on a vector of statistics
• Test of misspecification with application to negative binomial distribution
• Testing the information matrix equality with robust estimators
• Maximum entropy autoregressive conditional heteroskedasticity model
• The estimation of the accuracy of an indicator in educational testing theory, using the bootstrap method
• The Covariance Matrix of the Information Matrix Test
• A New Form of the Information Matrix Test
• Shrinkage of variance for minimum distance based tests
• Testing the equality of two positive-definite matrices with application to information matrix testing
• Information matrix equivalence in the presence of censoring: a goodness-of-fit test for semiparametric copula models with multivariate survival data
• A novel bootstrap goodness-of-fit test for normal linear regression models

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