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Graphical Methods for Investigating the Size and Power of Hypothesis Tests

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Author Info
Russell Davidson
James G. MacKinnon

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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://www.econ.queensu.ca/working_papers/papers/qed_wp_903.pdf
File Format: application/pdf
File Function: First version 1994
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Paper provided by Queen's University, Department of Economics in its series Working Papers with number 903.

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Date of creation: Jun 1994
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Publication status: Published in The Manchester School, 66, 1998.
Handle: RePEc:qed:wpaper:903

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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. Orme, Christopher, 1988. "The Calculation of the Information Matrix Test for Binary Data Models," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 56(4), pages 370-76, December.
  2. Davidson, R. & Mackinnon, J.G., 1996. "The Size and Power of Bootstrap Tests," G.R.E.Q.A.M. 96a03, Universite Aix-Marseille III.
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  3. Hall, Alastair, 1987. "The Information Matrix Test for the Linear Model," Review of Economic Studies, Blackwell Publishing, vol. 54(2), pages 257-63, April. [Downloadable!] (restricted)
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  4. Taylor, Larry W., 1987. "The size bias of White's information matrix test," Economics Letters, Elsevier, vol. 24(1), pages 63-67. [Downloadable!] (restricted)
  5. Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, vol. 52(4), pages 1051-53, July. [Downloadable!] (restricted)
  6. Davidson, Russell & MacKinnon, James G, 1984. "Model Specification Tests Based on Artificial Linear Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 485-502, June. [Downloadable!] (restricted)
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  7. Davidson, Russell & MacKinnon, James G, 1992. "A New Form of the Information Matrix Test," Econometrica, Econometric Society, vol. 60(1), pages 145-57, January. [Downloadable!] (restricted)
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  8. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
  9. 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)
  10. 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)
  11. Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, vol. 13(1), pages 45-48. [Downloadable!] (restricted)
  12. Kenneth D. West & David W. Wilcox, 1994. "A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model," Macroeconomics 9410001, EconWPA. [Downloadable!]
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  13. Fischer, N. I. & Mammen, E. & Marron, J. S., 1994. "Testing for multimodality," Computational Statistics & Data Analysis, Elsevier, vol. 18(5), pages 499-512, December. [Downloadable!] (restricted)
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