IDEAS home Printed from https://ideas.repec.org/a/oup/restud/v54y1987i2p257-263..html
   My bibliography  Save this article

The Information Matrix Test for the Linear Model

Author

Listed:
  • Alastair Hall

Abstract

We derive the information matrix test, suggested by White, for the normal fixed regressor linear model, and show that the statistic decomposes asymptotically into the sum of three independent quadratic forms. One of these is White's general test for heteroscedasticity and the remaining two components are quadratic forms in the third and fourth powers of the residuals respectively. Our results show that the test will fail to detect serial correlation and never be asymptotically optimal against heteroscedasticity, skewness and non-normal kurtosis.

Suggested Citation

  • Alastair Hall, 1987. "The Information Matrix Test for the Linear Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 54(2), pages 257-263.
  • Handle: RePEc:oup:restud:v:54:y:1987:i:2:p:257-263.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.2307/2297515
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Maxwell L. King & Xibin Zhang & Muhammad Akram, 2011. "A New Procedure For Multiple Testing Of Econometric Models," Monash Econometrics and Business Statistics Working Papers 7/11, Monash University, Department of Econometrics and Business Statistics.
    2. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, vol. 5(3), pages 363-384, December.
    3. Joachim Zietz, 2006. "Detecting neglected parameter heterogeneity with Chow tests," Applied Economics Letters, Taylor & Francis Journals, vol. 13(6), pages 369-374.
    4. Andreas Georgiadis & Christos N. Pitelis, 2008. "HRM Practices and Knowledge Processes Outcomes: Empirical Evidence from a Quasi-Experiment on UK SMEs in the Tourism Hospitality and Leisure Sector," CEP Discussion Papers dp0850, Centre for Economic Performance, LSE.
    5. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
    6. Jin Seo Cho & Halbert White, 2014. "Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing," Working papers 2014rwp-67, Yonsei University, Yonsei Economics Research Institute.
    7. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
    8. Cho, Jin Seo & Phillips, Peter C.B., 2018. "Pythagorean generalization of testing the equality of two symmetric positive definite matrices," Journal of Econometrics, Elsevier, vol. 202(1), pages 45-56.
    9. King, Maxwell L. & Zhang, Xibin & Akram, Muhammad, 2020. "Hypothesis testing based on a vector of statistics," Journal of Econometrics, Elsevier, vol. 219(2), pages 425-455.
    10. Joachim Zietz & Bobby Newsome, 2001. "A Note on Buyer's Agent Commision and Sales Price," Journal of Real Estate Research, American Real Estate Society, vol. 21(3), pages 245-254.
    11. Astrid Molenveld & Koen Verhoest & Jan Wynen, 2021. "Why public organizations contribute to crosscutting policy programs: the role of structure, culture, and ministerial control," Policy Sciences, Springer;Society of Policy Sciences, vol. 54(1), pages 123-154, March.
    12. Jin Seo Cho & Peter C.B. Phillips, "undated". "Testing Equality of Covariance Matrices via Pythagorean Means," Cowles Foundation Discussion Papers 1970, Cowles Foundation for Research in Economics, Yale University.
    13. Dhaene, Geert & Hoorelbeke, Dirk, 2004. "The information matrix test with bootstrap-based covariance matrix estimation," Economics Letters, Elsevier, vol. 82(3), pages 341-347, March.
    14. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    15. Nadeem A. Burney & Mohammad Alenezi & Nadia Al-Musallam & Ahmed Al-Khayat, 2016. "The demand for medical care services: evidence from Kuwait based on households’ out-of-pocket expenses," Applied Economics, Taylor & Francis Journals, vol. 48(28), pages 2636-2650, June.
    16. Riccardo LUCCHETTI & Claudia PIGINI, 2011. "Conditional Moment Tests for Normality in Bivariate Limited Dependent Variable Models: a Monte Carlo Study," Working Papers 357, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    17. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods & Applications, Springer;SocietĂ  Italiana di Statistica, vol. 22(4), pages 535-572, November.
    18. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society.
    19. J. Scott Long & Pravin K. Trivedi, 1992. "Some Specification Tests for the Linear Regression Model," Sociological Methods & Research, , vol. 21(2), pages 161-204, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:restud:v:54:y:1987:i:2:p:257-263.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/restud .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.