The Information Matrix Test for the Linear Model

DOI10.2307/2297515zbMath0653.62079OpenAlexW2255072012MaRDI QIDQ3799533

Alastair R. Hall

Publication date: 1987

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/269193

zbMATH Keywords

quadratic formsserial correlationskewnessresidualsinformation matrix testtest for heteroscedasticitynon-normal kurtosisnormal fixed regressor linear modeltest of misspecification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (10)

Misspecification tests and their uses in econometrics ⋮ The information matrix test with bootstrap-based covariance matrix estimation ⋮ Pythagorean generalization of testing the equality of two symmetric positive definite matrices ⋮ On the calculation of the information matrix test in the normal linear regression model ⋮ Hypothesis testing based on a vector of statistics ⋮ Testing the information matrix equality with robust estimators ⋮ The information matrix test in the linear regression with ARMA errors ⋮ On the application of robust, regression-based diagnostics to models of conditional means and conditional variances ⋮ A note on the score test for neglected heterogeneity in the truncated normal regression model ⋮ A test for bivariate normality with applications in microeconometric models

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