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Paper provided by EconWPA in its series Econometrics with number 9601001.

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Length: 17 pages
Date of creation: 18 Jan 1996
Date of revision:
Handle: RePEc:wpa:wuwpem:9601001

Note: Type of Document - PostScript from gTeX; prepared on a Dell that hums; to print on PostScript; pages: 17; figures: 1 (included). The PostScript file was FTP'ed.
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Related research

Keywords: 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 and Testing
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing

References listed on IDEAS
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1. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-72, July. [Downloadable!] (restricted)
2. Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December. [Downloadable!] (restricted)
3. Godfrey, Leslie G., 1978. "Testing for multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 8(2), pages 227-236, October. [Downloadable!] (restricted)
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. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September. [Downloadable!] (restricted)
6. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September. [Downloadable!] (restricted)
7. Honda, Yuzo, 1988. "A size correction to the Lagrange multiplier test for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 38(3), pages 375-386, July. [Downloadable!] (restricted)
8. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
9. 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)
   Other versions:
   • Russell Davidson & James G. MacKinnon, 1988. "A New Form of the Information Matrix Test," Working Papers 724, Queen's University, Department of Economics.
10. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. [Downloadable!] (restricted)
11. 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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This page was last updated on 2009-11-20.