Simulated conditional moment tests

DOI10.1016/0165-1765(95)00679-AzbMath0877.90025OpenAlexW1995954330MaRDI QIDQ672615

Chris D. Orme

Publication date: 28 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00679-a

zbMATH Keywords

information matrix testfinite sample behavioursimulation techniques

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (2)

The information matrix test with bootstrap-based covariance matrix estimation ⋮ On improving the robustness and reliability of Rao's score test

Cites Work

• Maximum Likelihood Specification Testing and Conditional Moment Tests
• A simple derivation of the limited information maximum likelihood estimator
• Simulation-based inference. A survey with special reference to panel data models
• A simulation approach to the problem of computing Cox's statistic for testing nonnested models
• Asymptotic Expansions of the Information Matrix Test Statistic
• Simulation and the Asymptotics of Optimization Estimators
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Maximum Likelihood Estimation of Misspecified Models

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