The information matrix test with bootstrap-based covariance matrix estimation

DOI10.1016/j.econlet.2003.09.002zbMath1255.62014OpenAlexW2049782711MaRDI QIDQ1927438

Dirk Hoorelbeke, Geert Dhaene

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/bitstream/123456789/121580/1/Dps0211.pdf

zbMATH Keywords

parametric bootstrap

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

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Cites Work

• Simulated conditional moment tests
• The size bias of White's information matrix test
• Asymptotic Expansions of the Information Matrix Test Statistic
• The Covariance Matrix of the Information Matrix Test
• The Information Matrix Test for the Linear Model
• A New Form of the Information Matrix Test
• Maximum Likelihood Estimation of Misspecified Models

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