Bartlett Identities Tests.

In this note, we propose a general testing procedure for parametric models based on Bartlett Identities. A well-known example is the Information Matrix Test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequence of testable restrictions on the data generating process.

MoreLess

Year of publication:	1999
Authors:	Chesner, A. ; Dhaene, G. ; Gourieroux, C. ; Scaillet, O.
Subject:	TESTING \| ECONOMIC MODELS \| ECONOMETRICS

More details

Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C12 - Hypothesis Testing ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671539