The size bias of White's information matrix test

DOI10.1016/0165-1765(87)90182-0zbMath1328.62153OpenAlexW2020041007MaRDI QIDQ899966

Larry W. Taylor

Publication date: 1 January 2016

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

Full work available at URL: https://doi.org/10.1016/0165-1765(87)90182-0

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Statistical aspects of information-theoretic topics (62B10)

Related Items (13)

A Goodness-of-fit Test for Copulas ⋮ The information matrix test with bootstrap-based covariance matrix estimation ⋮ On the calculation of the information matrix test in the normal linear regression model ⋮ A unified approach to proving parametric bootstrap consistency for some goodness-of-fit tests ⋮ On the corrections to information matrix tests ⋮ Hypothesis testing based on a vector of statistics ⋮ Testing for misspecification in generalized linear mixed models ⋮ Test of misspecification with application to negative binomial distribution ⋮ On improving the robustness and reliability of Rao's score test ⋮ A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models ⋮ A goodness-of-fit test for regular vine copula models ⋮ Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review ⋮ A test for bivariate normality with applications in microeconometric models

Cites Work

• Censored Normal Regression with Measurement Error on the Dependent Variable
• The Covariance Matrix of the Information Matrix Test
• ERA's: A New Approach to Small Sample Theory
• Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model
• Maximum Likelihood Estimation of Misspecified Models

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