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The Information Matrix Test for the Linear Model

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Author Info
Hall, Alastair

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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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Article provided by Blackwell Publishing 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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  1. Joachim Zietz, 2005. "Detecting Neglected Parameter Heterogeneity with Chow Tests," Working Papers 200503, Middle Tennessee State University, Department of Economics and Finance. [Downloadable!]
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  2. 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," CEP Discussion Papers dp0850, Centre for Economic Performance, LSE. [Downloadable!]
  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. [Downloadable!]
  4. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics. [Downloadable!]
  5. 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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  6. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society. [Downloadable!]
  7. Russell Davidson & James Mackinnon, 1991. "Une nouvelle forme du test de la matrice d'information," Annales d'Economie et de Statistique, ADRES, issue 20-21, pages 09, Octobre-m. [Downloadable!]
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