On the Corrections to Information Matrix Tests
This paper addresses the issue of designing finite-sample corrections to information matrix tests. We review a Cornish-Fisher correction that has been proposed elsewhere and propose an alternative, Bartlett-type correction. Simulation results for skewness, excess kurtosis, normality and heteroskedasticity tests are given.
|Date of creation:||18 Jan 1996|
|Date of revision:|
|Note:||Type of Document - PostScript from gTeX; prepared on a Dell that hums; to print on PostScript; pages: 17; figures: 1 (included). The PostScript file was FTP'ed.|
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724, Queen's University, Department of Economics.
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