Testing the Information Matrix Equality with Robust Estimators



Then, the score test statistic of H0 is

S = ns ' J-1 s,

where

1n

s = n∑s ( Yi ;ω)
i=1

and J is, under H0, a consistent estimator of

J = E [ s ( Y ; ω o) s ( Y ; ω 0) ' ] ,

where ω0 Ωo is the true value. Consider now a sequence of alternatives

Hn : Y ~ Fn,

where Fn = Fωn and ωn = ω0 + e/√n. Then, under Hn,

S →d χq2 (δ),

where δ = b'V-1 b, with

b = lim Vn-Einn s (Y ; ωo ,n)
n→∞

and ωo,n solves

max EFn log f (Y; ω).

ω Ωo

C.1 Student’s t alternative

The log-density is

log f (y ; β,σ,η) = - log σ - log tη (u),

where u = (y — β) and tη(u) is the density of a Student’s t variable with
1
degrees of freedom. The score function, evaluated at η = 0, is

/

s(y ; β,σ, 0) =

32



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