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The information matrix test. Simplified calculation via a score test interpretation

Chesher, A; (1983) The information matrix test. Simplified calculation via a score test interpretation. Economics Letters , 13 (1) 45 - 48.

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Abstract

In Chesher (1982) I show that the Information Matrix test introduced by White (1982) is a score test for parameter constancy. In this letter I show that this result leads to a simple computational procedure for calculating the Information Matrix test. The procedure involves computing, for a sample of n observations, n times the R from the least squares regression of a column of ones on a matrix whose elements are functions of 1st and 2nd derivatives of the log density function. © 1983.

Type:Article
Title:The information matrix test. Simplified calculation via a score test interpretation
UCL classification:UCL > School of Arts and Social Sciences > Faculty of Social and Historical Sciences > Economics

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