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The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation

Author

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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 of Department of Economics, Leuven ces0211, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    • Handle: RePEc:ete:ceswps:ces0211
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    1. is not listed on IDEAS
    2. repec:ebl:ecbull:v:3:y:2008:i:5:p:1-7 is not listed on IDEAS
    3. Sung Y. Park & Anil K. Bera, 2018. "Information theoretic approaches to income density estimation with an application to the U.S. income data," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 16(4), pages 461-486, December.
    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. Qian M. Zhou, 2024. "Information matrix equivalence in the presence of censoring: a goodness-of-fit test for semiparametric copula models with multivariate survival data," Statistical Papers, Springer, vol. 65(7), pages 4677-4713, September.
    6. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society.
    7. Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner, 2016. "Generalized Information Matrix Tests for Detecting Model Misspecification," Econometrics, MDPI, vol. 4(4), pages 1-24, November.
    8. repec:wyi:journl:002099 is not listed on IDEAS
    9. K. Chua & S. Ong, 2013. "Test of misspecification with application to negative binomial distribution," Computational Statistics, Springer, vol. 28(3), pages 993-1009, June.
    10. 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.
    11. Park, Sung Y. & Bera, Anil K., 2009. "Maximum entropy autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 150(2), pages 219-230, June.
    12. José Jairo Santana-e-Silva & Francisco Cribari-Neto & Klaus L P Vasconcellos, 2022. "Beta distribution misspecification tests with application to Covid-19 mortality rates in the United States," PLOS ONE, Public Library of Science, vol. 17(9), pages 1-30, September.
    13. King, Maxwell L. & Zhang, Xibin & Akram, Muhammad, 2020. "Hypothesis testing based on a vector of statistics," Journal of Econometrics, Elsevier, vol. 219(2), pages 425-455.

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