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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. Joachim Zietz, 2005. "Detecting Neglected Parameter Heterogeneity with Chow Tests," Working Papers 200503, Middle Tennessee State University, Department of Economics and Finance.
  3. Geert Dhaene & Dirk Hoorelbeke, 2002. "The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation," Center for Economic Studies - Discussion papers ces0211, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  4. Croux, Christophe & Dhaene, Geert & Hoorelbeke, Dirk, 2003. "Testing the information matrix equality with robust estimators," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/118351, Katholieke Universiteit Leuven.
  5. 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.
  6. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, vol. 5(03), pages 363-384, December.
  7. Croux, Christophe & Dhaene, Geert & Hoorelbeke, Dirk, 2003. "Testing the IM-equality with robust estimators," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/121560, Katholieke Universiteit Leuven.
  8. 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.
  9. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society.
  10. 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.

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