The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation
Download full text from publisher
Other versions of this item:
- 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.
References listed on IDEAS
- 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.
- Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Paper 903, Economics Department, Queen's University.
- Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
- Taylor, Larry W., 1987. "The size bias of White's information matrix test," Economics Letters, Elsevier, vol. 24(1), pages 63-67.
- Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, vol. 52(4), pages 1051-1053, July.
- Davidson, Russell & MacKinnon, James G, 1992. "A New Form of the Information Matrix Test," Econometrica, Econometric Society, vol. 60(1), pages 145-157, January.
- Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
- 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.
- Orme, Chris, 1995. "Simulated conditional moment tests," Economics Letters, Elsevier, vol. 49(3), pages 239-245, September.
- Alastair Hall, 1987. "The Information Matrix Test for the Linear Model," Review of Economic Studies, Oxford University Press, vol. 54(2), pages 257-263.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
- Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, vol. 13(1), pages 45-48.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:wyi:journl:002099 is not listed on IDEAS
- Park, Sung Y. & Bera, Anil K., 2009. "Maximum entropy autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 150(2), pages 219-230, June.
- repec:kap:jecinq:v:16:y:2018:i:4:d:10.1007_s10888-018-9377-y is not listed on IDEAS
- K. Chua & S. Ong, 2013. "Test of misspecification with application to negative binomial distribution," Computational Statistics, Springer, vol. 28(3), pages 993-1009, June.
- Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society.
- repec:eee:econom:v:202:y:2018:i:1:p:45-56 is not listed on IDEAS
- 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.
- 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.
- Jin Seo Cho & Peter C.B. Phillips, 2016. "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices," Working papers 2016rwp-89, Yonsei University, Yonsei Economics Research Institute.
- repec:ebl:ecbull:v:3:y:2008:i:5:p:1-7 is not listed on IDEAS
- 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.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ORE-2008-04-12 (Operations Research)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ete:ceswps:ces0211. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (library EBIB). General contact details of provider: https://feb.kuleuven.be/Economics/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.