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Bartlett Identities Tests

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Author Info
Chesner, A.
Dhaene, G.
Gourieroux, C.
Scaillet, O.

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Abstract

In this note, we propose a general testing procedure for parametric models based on Bartlett Identities. A well-known example is the Information Matrix Test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequence of testable restrictions on the data generating process.

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Publisher Info
Paper provided by Institut National de la Statistique et des Etudes Economiques- in its series Papers with number 9932.

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Length: 25 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:inseep:9932

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Related research
Keywords: TESTING ECONOMIC MODELS ECONOMETRICS

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January. [Downloadable!] (restricted)
  2. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-72, July. [Downloadable!] (restricted)
  3. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-78, May. [Downloadable!] (restricted)
  4. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 239-53, January. [Downloadable!] (restricted)
  5. Dufour, Jean-Marie, 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, vol. 133(2), pages 443-477, August. [Downloadable!] (restricted)
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  6. Chesher, Andrew & Dumangane, Montezuma & Smith, Richard J., 2002. "Duration response measurement error," Journal of Econometrics, Elsevier, vol. 111(2), pages 169-194, December. [Downloadable!] (restricted)
  7. Takesi Hayakawa, 1977. "The likelihood ratio criterion and the asymptotic expansion of its distribution," Annals of the Institute of Statistical Mathematics, Springer, vol. 29(1), pages 359-378, December. [Downloadable!] (restricted)
  8. Andrew Chesher & Richard J. Smith, 1997. "Likelihood Ratio Specification Tests," Econometrica, Econometric Society, vol. 65(3), pages 627-646, May.
  9. DUFOUR, Jean-Marie & FARHAT, Abdeljelil & GARDIOL, Lucien, 1998. "Simulation-Based Finite-Sample Normality Tests in Linear Regressions," Cahiers de recherche 9811, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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  10. Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October. [Downloadable!] (restricted)
  11. Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, vol. 52(4), pages 1051-53, July. [Downloadable!] (restricted)
  12. Gourieroux, C. & Jasiak, J., 1999. "Nonlinear Innovations and Impulse Responses," Papers 9944, Institut National de la Statistique et des Etudes Economiques-.
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  13. Gourieroux, C. & Monfort, A., 1991. "Testing Non Nested Hypotheses," Papers 9207, Institut National de la Statistique et des Etudes Economiques-.
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  14. Gurmu, Shiferaw, 1991. "Tests for Detecting Overdispersion in the Positive Poisson Regression Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(2), pages 215-22, April.
  15. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  16. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
  17. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April. [Downloadable!] (restricted)
  18. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Marcelo Fernandes & Joachim Grammig, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  2. BONTEMPS, Christian & MEDDAHI, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
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