On the corrections to information matrix tests

This paper addresses the issue of designing finite-sample corrections to information matrix tests. We review a Cornish-Fisher correction that has been propowed elsewhere and propose an alternative, Bartlett-type correction. Simulation results for skewness, excess kurtosis, normality and heteroskedasticity tests are given.

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Year of publication:	1997
Authors:	Cribari-Neto, Francisco
Published in:	Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 16.1997, 1, p. 39-53
Publisher:	Taylor & Francis Journals
Subject:	and Phrases: Bartlett correction: Cornish-Fisher expansion: Edgeworth expansion \| heteroskedasticity test \| information matrix test \| normality test \| size-correction

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005511899