The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation

We propose an information matrix test in which the covariance matrix of the vector of indicators is estimated using the parametric bootstrap. Monte Carlo results and heuristic arguments show that its small sample performance is comparable with that of the efficient score form.

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Year of publication:	2002-03
Authors:	Dhaene, Geert ; Hoorelbeke, Dirk
Institutions:	Centrum voor Economische Studiën, Faculteit Economie en Bedrijfswetenschappen

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Series:	Center for Economic Studies - Discussion papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005808066