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Graphical Methods for Investigating the Size and Power of Hypothesis Tests

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  • Russell Davidson
  • James G. MacKinnon

Abstract

Simple techniques for the graphical display of simulation evidence concerning the size and power of hypothesis tests are developed and illustrated. Three types of figures - called P value plots, P value discrepancy plots, and size-power curves - are discussed. Some Monte Carlo experiments on the properties of alternative forms of the information matrix test are used to illustrate these figures. Tests based on the OPG regression are found to perform poorly in terms of both size and power.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_903.pdf
File Function: First version 1994
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 903.

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Length: 25 pages
Date of creation: Jun 1994
Date of revision:
Handle: RePEc:qed:wpaper:903

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  1. repec:att:wimass:9414 is not listed on IDEAS
  2. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  3. Russell Davidson & James G. MacKinnon, 1988. "A New Form of the Information Matrix Test," Working Papers, Queen's University, Department of Economics 724, Queen's University, Department of Economics.
  4. Taylor, Larry W., 1987. "The size bias of White's information matrix test," Economics Letters, Elsevier, vol. 24(1), pages 63-67.
  5. West, Kenneth D & Wilcox, David W, 1996. "A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(3), pages 281-93, July.
  6. Orme, Christopher, 1988. "The Calculation of the Information Matrix Test for Binary Data Models," The Manchester School of Economic & Social Studies, University of Manchester, University of Manchester, vol. 56(4), pages 370-76, December.
  7. Davidson, R. & Mackinnon, J.G., 1996. "The Size and Power of Bootstrap Tests," G.R.E.Q.A.M., Universite Aix-Marseille III 96a03, Universite Aix-Marseille III.
  8. Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, vol. 13(1), pages 45-48.
  9. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, Elsevier, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976 Elsevier.
  10. Russell Davidson & James G. MacKinnon, 1980. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers, Queen's University, Department of Economics 390, Queen's University, Department of Economics.
  11. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, Econometric Society, vol. 59(3), pages 787-815, May.
  12. Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, Econometric Society, vol. 52(4), pages 1051-53, July.
  13. Hall, Alastair, 1987. "The Information Matrix Test for the Linear Model," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 54(2), pages 257-63, April.
  14. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, Econometric Society, vol. 50(1), pages 1-25, January.
  15. Fischer, N. I. & Mammen, E. & Marron, J. S., 1994. "Testing for multimodality," Computational Statistics & Data Analysis, Elsevier, vol. 18(5), pages 499-512, December.
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