model.
In Section 2 we present the IM test with robust estimators and the
general form of the IM statistic. The IM test in the normal model, without
and with covariates, is considered in Sections 3 and 5, respectively. In
Section 4 we study the local asymptotic power of the IM test in the normal
model without covariates. Monte Carlo results are presented in Section 6.
Section 7 concludes. Technical derivations are gathered in the Appendix.
2 The IM test with robust estimators
Let (X1 ,Y1),... ,(Xn,Yn)ben independent copies of the random variables
(X, Y ), where X has distribution K (which is left unspecified) and the distri-
bution of Y , given X, is specified by the parametric model {Fθ | θ ∈ Θ}. Let
fθ be the conditional density corresponding to Fθ, and let sθ = — d log fθ.
The conditional IM equality can be stated as
EFθ [m(X, Y ; θ)] = 0 for almost all X,
where EFθ is the conditional expectation with respect to Fθ and m is the
vectorised lower triangular part of
sθ sθ - ∂θ sθ.
Integrating with respect to K yields the IM equality
E[m(X, Y; θ)] = 0,
where E[■ ] = EKEFθ [■ ]. Now let θ be an estimator of θ, sufficiently regular
to have
1n
θ — θ = n ∑IF( Xi ,Yi ; θ; k,Fθ ) + op ( n-1 / 2), (1)
i=1
where IF is the influence function of the estimator θ, and, for
1n
M = n∑m ( Xi,Yi ; θ),
i=1