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The Calculation of the Information Matrix Test for Binary Data Models

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Author Info
Orme, Christopher

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Abstract

This paper presents a simple calculation procedure for the information matrix test statistic, in the context of binary data models, which employs the asymptotically efficient maximum likelihood estimator of the covariance matrix, as opposed to the highly stochastic "output product of the gradient" estimator proposed by T. Lancaster (1984) and others. Copyright 1988 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Publisher Info
Article provided by Blackwell Publishing in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 56 (1988)
Issue (Month): 4 (December)
Pages: 370-76
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Handle: RePEc:bla:manch2:v:56:y:1988:i:4:p:370-76

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  1. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics. [Downloadable!]
  2. Michael Lechner, 1999. "The Effects of Enterprise-Related Training in East Germany on Individual Employment and Earnings," Annales d'Economie et de Statistique, ADRES, issue 55-56, pages 05, Juillet-D. [Downloadable!]
  3. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics. [Downloadable!]
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  4. Lechner, Michael & Smith, Jeffrey, 2003. "What is the Value Added by Caseworkers?," CEPR Discussion Papers 3825, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  5. Michael Lechner, 1999. "An Evaluation of Public-Sector-Sponsored Continuous Vocational Training Programs in East Germany," IZA Discussion Papers 93, Institute for the Study of Labor (IZA). [Downloadable!]
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  6. Maria Concetta Chiuri, 1999. "Intra-Household Allocation of Time and Resources: Empirical Evidence on a Sample of Italian Households with Young Children," CSEF Working Papers 15, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
  7. Teresa Aparicio, Inmaculada Villanua, 2001. "The asymptotically efficient version of the information matrix test in binary choice models. A study of size and power," Journal of Applied Statistics, Taylor and Francis Journals, vol. 28(2), pages 167-182, February. [Downloadable!] (restricted)
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