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The Information Matrix Test for the Linear Model

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  • Hall, Alastair

Abstract

The 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 Info

Article provided by Wiley Blackwell in its journal Review of Economic Studies.

Volume (Year): 54 (1987)
Issue (Month): 2 (April)
Pages: 257-63

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Handle: RePEc:bla:restud:v:54:y:1987:i:2:p:257-63

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Cited by:
  1. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.
  2. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods and Applications, Springer, vol. 22(4), pages 535-572, November.
  3. Joachim Zietz & Bobby Newsome, 2001. "A Note on Buyer's Agent Commision and Sales Price," Journal of Real Estate Research, American Real Estate Society, vol. 21(3), pages 245-254.
  4. Riccardo LUCCHETTI & Claudia PIGINI, 2011. "Conditional Moment Tests for Normality in Bivariate Limited Dependent Variable Models: a Monte Carlo Study," Working Papers 357, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  5. Dhaene, Geert & Hoorelbeke, Dirk, 2004. "The information matrix test with bootstrap-based covariance matrix estimation," Economics Letters, Elsevier, vol. 82(3), pages 341-347, March.
  6. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
  7. Andreas Georgiadis & Christos N. Pitelis, 2008. "HRM practices and knowledge processes outcomes: empirical evidence from a quasi-experiment on UK SMEs in the tourism hospitality and leisure sector," LSE Research Online Documents on Economics 19636, London School of Economics and Political Science, LSE Library.
  8. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics.
  9. Joachim Zietz, 2005. "Detecting Neglected Parameter Heterogeneity with Chow Tests," Working Papers 200503, Middle Tennessee State University, Department of Economics and Finance.
  10. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society.

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