Testing the Information Matrix Equality with Robust Estimators



Figure 8: RP-Power curves: Cauchy (a) n = 10 (b) n = 20


Figure 9: RP-Power curves: χ2 (a) n = 10 (b) n = 50


(a)                                                                          (b)



actual RP                                                actual RP

Figure 9. Here the IM test with ML estimator has better power properties.

6.2 The normal regression model

The following design is used in the Monte Carlo experiments. Throughout
k =2,β =0andσ = 1, with one of the regressors a standard normal
variate and the other one a constant. The regressors are kept fixed across

22



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