Econometrica Vol. 60 No. 1 1992
A New Form of the Information Matrix Test
Abstract
A new form of the information matrix test is developed for a wide variety of statistical models. The test is constructed against an explicit alternative with random parameter variation. It is computed using a double-length artificial regression instead of the more conventional outer-product-of-the-gradient regression, which is known to have very poor finite-sample properties. In Monte Carlo experiments for the case of univariate linear regression models, the new form performs remarkably well. Some approximate finite-sample distributions are also calculated for this case and lend support to the use of the new form.
- DOI
- 10.2307/2951680
- Volume
- 60
- Issue
- 1
- Pages
- 145
- Sources
- bibtex:phds-export.bib crossref openalex