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A New Form of the Information Matrix Test

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Author Info
Davidson, Russell
MacKinnon, James G

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Abstract

A new form of the information matrix test is developed for a wide variety of statistical models. The test is constructed against an explicit alternative with random parameter variation. It is computed using a double-length artificial regression instead of the more conventional outer-product-of-the-gradient regression, which is known to have very poor finite-sample properties. In Monte Carlo experiments for the case of univariate linear regression models, the new form performs remarkably well. Some approximate finite-sample distributions are also calculated for this case and lend support to the use of the new form. Copyright 1992 by The Econometric Society.

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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 60 (1992)
Issue (Month): 1 (January)
Pages: 145-57
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Handle: RePEc:ecm:emetrp:v:60:y:1992:i:1:p:145-57

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  1. N.E. Savin & Allan H. Wuertz, . "The Effect of Nuisance Parameters on Size and Power; LM Tests in Logit Models," Economics Working Papers 1997-17, School of Economics and Management, University of Aarhus. [Downloadable!]
  2. Francisco Cribari-Neto, 1996. "On the Corrections to Information Matrix Tests," Econometrics 9601001, EconWPA. [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!]
    Other versions:
  4. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society. [Downloadable!]
  5. Joachim Zietz, 2005. "Detecting Neglected Parameter Heterogeneity with Chow Tests," Working Papers 200503, Middle Tennessee State University, Department of Economics and Finance. [Downloadable!]
    Other versions:
  6. Russell Davidson & James G. MacKinnon, 2001. "Artificial Regressions," Working Papers 1038, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  7. Teodosio Perez Amaral, 1994. "Una aplicación de los contrastes M y de la matriz de información dinámica: el caso de la demanda de dinero norteamericana 1960-1984," Investigaciones Economicas, Fundación SEPI, vol. 18(1), pages 193-201, January. [Downloadable!]
  8. Christopher Stomberg & Halbert White, 2000. "Bootstrapping the Information Matrix Test," University of California at San Diego, Economics Working Paper Series 2000-04, Department of Economics, UC San Diego. [Downloadable!]
  9. Luc Bauwens & Michel Lubrano, 1991. "Bayesian Diagnostics for Heterogeneity," Annales d'Economie et de Statistique, ADRES, issue 20-21, pages 03, Octobre-m. [Downloadable!]
  10. Kaiser, Ulrich & Spitz, Alexandra, 2000. "Quantification of qualitative data using ordered probit models with an application to a business survey in the German service sector," ZEW Discussion Papers 00-58, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
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