On the calculation of the information matrix test in the normal linear regression model

DOI10.1016/0165-1765(89)90169-9zbMath1328.62417OpenAlexW1974434233MaRDI QIDQ902620

Alastair R. Hall

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(89)90169-9

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

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Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Small sample properties of alternative forms of the Lagrange multiplier test
• The size bias of White's information matrix test
• The Covariance Matrix of the Information Matrix Test
• The Information Matrix Test for the Linear Model
• Maximum Likelihood Estimation of Misspecified Models

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