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Graphical Methods for Investigating the Size and Power of Hypothesis Tests

  • Davidson, Russell
  • MacKinnon, James G

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 for linear regression models and probit models are used to illustrate these figures. Tests based on the outer-product-of-the-gradient regression generally perform much worse in terms of both size and power than efficient score tests. Copyright 1998 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Article provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 66 (1998)
Issue (Month): 1 (January)
Pages: 1-26

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Handle: RePEc:bla:manch2:v:66:y:1998:i:1:p:1-26
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  1. 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, vol. 14(3), pages 281-93, July.
  2. Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, vol. 13(1), pages 45-48.
  3. Taylor, Larry W., 1987. "The size bias of White's information matrix test," Economics Letters, Elsevier, vol. 24(1), pages 63-67.
  4. Mackinnon, J-G, 1997. "The Size and Power of Bootstrap Tests," ASSET - Instituto De Economia Publica 153, ASSET (Association of Southern European Economic Theorists).
  5. Russell Davidson & James G. MacKinnon, 1981. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 426, Queen's University, Department of Economics.
  6. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976 Elsevier.
  7. Russell Davidson & James G. MacKinnon, 1988. "A New Form of the Information Matrix Test," Working Papers 724, Queen's University, Department of Economics.
  8. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  9. Orme, Christopher, 1988. "The Calculation of the Information Matrix Test for Binary Data Models," The Manchester School of Economic & Social Studies, University of Manchester, vol. 56(4), pages 370-76, December.
  10. Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, vol. 52(4), pages 1051-53, July.
  11. Hall, A.R., 1984. "The Information Matrix Test for the Linear Model," The Warwick Economics Research Paper Series (TWERPS) 250, University of Warwick, Department of Economics.
  12. Fischer, N. I. & Mammen, E. & Marron, J. S., 1994. "Testing for multimodality," Computational Statistics & Data Analysis, Elsevier, vol. 18(5), pages 499-512, December.
  13. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  14. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
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