On the Corrections to Information Matrix Tests
AbstractThis paper addresses the issue of designing finite-sample corrections to information matrix tests. We review a Cornish-Fisher correction that has been proposed elsewhere and propose an alternative, Bartlett-type correction. Simulation results for skewness, excess kurtosis, normality and heteroskedasticity tests are given.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 9601001.
Length: 17 pages
Date of creation: 18 Jan 1996
Date of revision:
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Bartlett correction; Cornish-Fisher expansion; Edgeworth expansion; heteroskedasticity test; information matrix test; normality test; size correction;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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"A New Form of the Information Matrix Test,"
724, Queen's University, Department of Economics.
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- Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
- Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-72, July.
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