The Information Matrix Test for the Linear Model
AbstractThe author derives the information-matrix test, suggested by H. White (1982), for the normal fixed-regressor linear model, and shows that the statistic decomposes asymptotically into the sum of three independent quadratic forms. One of these is White's general test for heteroscedasticity and the remaining two components are quadratic forms in the third and fourth powers of the residuals respectively. The results show that the test will fail to detect serial correlation and never be asymptotically optimal against heteroskedasticity, skewness, and non-normal kurtosis. Copyright 1987 by The Review of Economic Studies Limited.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 54 (1987)
Issue (Month): 2 (April)
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- Hall, A.R., 1984. "The Information Matrix Test for the Linear Model," The Warwick Economics Research Paper Series (TWERPS) 250, University of Warwick, Department of Economics.
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