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The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation

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  • Geert Dhaene
  • Dirk Hoorelbeke

Abstract

We propose an information matrix test in which the covariance matrix of the vector of indicators is estimated using the parametric bootstrap. Monte Carlo results and heuristic arguments show that its small sample performance is comparable with that of the efficient score form.

Suggested Citation

  • Geert Dhaene & Dirk Hoorelbeke, 2002. "The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation," Working Papers Department of Economics ces0211, KU Leuven, Faculty of Economics and Business, Department of Economics.
  • Handle: RePEc:ete:ceswps:ces0211
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    References listed on IDEAS

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    1. Taylor, Larry W., 1987. "The size bias of White's information matrix test," Economics Letters, Elsevier, vol. 24(1), pages 63-67.
    2. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
    3. Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, vol. 13(1), pages 45-48.
    4. Davidson, Russell & MacKinnon, James G, 1992. "A New Form of the Information Matrix Test," Econometrica, Econometric Society, vol. 60(1), pages 145-157, January.
    5. 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 370-376, December.
    6. Orme, Chris, 1995. "Simulated conditional moment tests," Economics Letters, Elsevier, vol. 49(3), pages 239-245, September.
    7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    8. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
    9. Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
    10. Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, vol. 52(4), pages 1051-1053, July.
    11. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
    12. Alastair Hall, 1987. "The Information Matrix Test for the Linear Model," Review of Economic Studies, Oxford University Press, vol. 54(2), pages 257-263.
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    Cited by:

    1. repec:wyi:journl:002099 is not listed on IDEAS
    2. repec:ebl:ecbull:v:3:y:2008:i:5:p:1-7 is not listed on IDEAS
    3. repec:eee:econom:v:202:y:2018:i:1:p:45-56 is not listed on IDEAS
    4. Cho, Jin Seo & Phillips, Peter C.B., 2018. "Pythagorean generalization of testing the equality of two symmetric positive definite matrices," Journal of Econometrics, Elsevier, vol. 202(1), pages 45-56.
    5. K. Chua & S. Ong, 2013. "Test of misspecification with application to negative binomial distribution," Computational Statistics, Springer, vol. 28(3), pages 993-1009, June.
    6. 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.
    7. Park, Sung Y. & Bera, Anil K., 2009. "Maximum entropy autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 150(2), pages 219-230, June.
    8. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society.
    9. Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner, 2016. "Generalized Information Matrix Tests for Detecting Model Misspecification," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-24, November.

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