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 proposed 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:	1996-01-18
Authors:	Cribari-Neto, Francisco
Institutions:	EconWPA
Subject:	Bartlett correction \| Cornish-Fisher expansion \| Edgeworth expansion \| heteroskedasticity test \| information matrix test \| normality test \| size correction

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Extent:	application/pdf application/postscript
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - PostScript from gTeX; prepared on a Dell that hums; to print on PostScript; pages: 17; figures: 1 (included). The PostScript file was FTP'ed. 17 pages
Classification:	C52 - Model Evaluation and Testing ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005556302