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Une nouvelle forme du test de la matrice d'information

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  • Russell Davidson
  • James Mackinnon

Abstract

We develop a new form of the information matrix test for a wide variety of statistical models, and present full details for the special case of univariate nonlinear regression models. Chesher (1984) showed that the implicit alternative of the information matrix test is a model with random parameter variation. We exploit this fact by constructing the test against an explicit alternative of this type. The new test is computed using a double-length artificial regression, instead of the more conventional outer product of the gradient regression, which although easy to use, is known to give test statistics with distributions very far from the asymptotic nominal distribution even in rather large samples. The new form on the other hand performs remarkably well, at least in the context of regressions models. Some approximate finite-sample distribution are calculated and lend support to the use of the new form of the test.

Suggested Citation

  • Russell Davidson & James Mackinnon, 1991. "Une nouvelle forme du test de la matrice d'information," Annals of Economics and Statistics, GENES, issue 20-21, pages 171-192.
    • Handle: RePEc:adr:anecst:y:1991:i:20-21:p:171-192
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    1. Sergei Koulayev & Marc Rysman & Scott Schuh & Joanna Stavins, 2016. "Explaining adoption and use of payment instruments by US consumers," RAND Journal of Economics, RAND Corporation, vol. 47(2), pages 293-325, May.

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