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A note on the relationship between the information matrx test and a score test for parameter constancy

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  • Daisuke Nagakura

    (Department of Economics, University of Washington)

Abstract

Information matrix (IM) test (White, 1982) has been used for detecting general model misspecification in the applied econometrics literature. Two of the most commonly used asymptotic covariance matrix estimators (ACMEs) for the IM test are the one that White (1982) proposed in his original paper and Chesher (1983)'s ACME. Chesher (1984) showed that the IM test is in effect a score test for parameter constancy. In this note, I show that the IM test with White''s ACME is not only the score test but also a specification robust form of the score test or a score test for quasi-maximum likelihood estimators. Based on this result, it is argued that we should be careful in selecting the ACME for properly interpreting the consequence of the IM test.

Suggested Citation

  • Daisuke Nagakura, 2008. "A note on the relationship between the information matrx test and a score test for parameter constancy," Economics Bulletin, AccessEcon, vol. 3(5), pages 1-7.
    • Handle: RePEc:ebl:ecbull:eb-07c10004
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    References listed on IDEAS

    as
    1. Dhaene, Geert & Hoorelbeke, Dirk, 2004. "The information matrix test with bootstrap-based covariance matrix estimation," Economics Letters, Elsevier, vol. 82(3), pages 341-347, March.
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    More about this item

    Keywords

    Hessian matrix;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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