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Contrastes de momentos y de la matriz de información

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  • Teodosio Pérez Amaral

    (Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid.)

Abstract

En este trabajo se presentan los principales resultados de la literatura reciente sobre contrastes de momentos (m) y de la matriz de información, Los contrastes de momentos son un marco general para obtener diagnósticos de la especificación de modelos estimados bien por máxima verosimilitud o por el método de momentos. Los contrastes m pueden considerarse, bajo condiciones generales, contrastes de los multiplicadores de lagrange. Una fuente de condiciones de momentos en los que basar la construcción de los diagnósticos ro es la igualdad de la matriz de información. Se ilustra cómo, en el caso de regresión lineal, los contrastes basados en la igualdad de la matriz de información generan diagnósticos tanto conocidos como más novedosos. El comportamiento en muestras finitas de los contrastes es una consideración importante a la hora de su utilización, debiendo elegirse en cada circunstancia la versión más apropiada. Finalmente se señala el gran potencial de la igualdad de la matriz de información para generar baterías de diagnósticos para modelos para los cuales se dispone actualmente de una menor variedad de diagnósticos que para el caso de regresión lineal.

Suggested Citation

  • Teodosio Pérez Amaral, 1994. "Contrastes de momentos y de la matriz de información," Documentos de Trabajo del ICAE 9401, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Handle: RePEc:ucm:doicae:9401
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    References listed on IDEAS

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