IDEAS home Printed from https://ideas.repec.org/p/wrk/warwec/250.html
   My bibliography  Save this paper

The Information Matrix Test for the Linear Model

Author

Listed:
  • Hall, A.R.

Abstract

We derive the information matrix test, suggested by White (1982), for the normal fixed regressor linear model, and show that the statistic decomposes asymptotically into the sum of three independent quadratic forms. One of these is White's (1980) general test for heteroscedasticity and the remaining two components are quadratic forms in the third and forth powers of the residuals respectively. Our results show that the test will fail to detect serial correlation and never be asympotically optimal against heteroscedasticity, skewness and non-normal kurtosis. The information matrix test is contrasted with the test procedures of Bera and Jarque (1983) and Godfrey and Wickens (1982), who construct a composite statistic form asymptotically optimal and independent tests against particular alternatives. Our results suggest that this alternative strategy is likely to be a more fruitful source of a general regression diagnostic.

Suggested Citation

  • Hall, A.R., 1984. "The Information Matrix Test for the Linear Model," The Warwick Economics Research Paper Series (TWERPS) 250, University of Warwick, Department of Economics.
  • Handle: RePEc:wrk:warwec:250
    as

    Download full text from publisher

    File URL: https://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/1978-1988/twerp250.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:wrk:warwec:250. 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: (Margaret Nash). General contact details of provider: http://edirc.repec.org/data/dewaruk.html .

    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.

    We have no references for this item. You can help adding them by using this form .

    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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.