Testing the Information Matrix Equality with Robust Estimators

References

[1] Chesher A. and R. Spady (1991), Asymptotic Expansions of the Infor-
mation Matrix Test Statistic, Econometrica 59, 787-815.

[2] Davidson, R. and J.G. MacKinnon (1998), Graphical methods for inves-
tigating the size and power of hypothesis tests, The Manchester School
66, 1-26.

[3] Fernandez, C. and M. Steel (1998), On Bayesian Modelling of Fat Tails
and Skewness, Journal of the American Statistical Association 93, 359-
371.

[4] Godfrey, L.G. (1990), Misspecification tests in econometrics: the La-
grange multiplier principle and other approaches, Cambridge University
Press,

[5] Hampel, F.R., Ronchetti, E.M., Rousseeuw, P.J. and W.A. Stahel
(1986), Robust statistics: the approach based on influence functions, Wi-
ley, New York.

[6] Hall, A. (1987), The information matrix test for the linear model, The
Review of Economic Studies, 54, 257-263.

[7] Horowitz, J.L. (1994), Bootstrap-based Critical Values for the Informa-
tion Matrix Test, Journal of Econometrics 61, 395-411.

[8] Huber, P.J. (1964), Robust estimation of a location parameter, Annals
of Mathematical Statistics 35,73-101.

[9] Huber, P.J. (1981), Robust statistics, Wiley, New York.

[10] Jarque, C.M. and A.K. Bera (1980), Efficient tests for normality, ho-
moscedasticity and serial independence of regression residuals, Economics
Letters 6, 255-259.

[11] Johnson N.L., Kotz, S. and N. Balakrishnan (1995), Continuous uni-
variate distributions, Volume 2, Wiley, New York.

[12] Orme C. (1990), The Small-Sample Performance of the Information-
Matrix Test, Journal of Econometrics 46, 309-331.

38

<<   37   38   39   40   41   42   >>

More intriguing information