The Information Matrix Test for the Linear Model
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.
|Date of creation:||1984|
|Contact details of provider:|| Postal: CV4 7AL COVENTRY|
Phone: +44 (0) 2476 523202
Fax: +44 (0) 2476 523032
Web page: http://www2.warwick.ac.uk/fac/soc/economics/
More information through EDIRC
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)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.