The information matrix test. Simplified calculation via a score test interpretation.
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 R2 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.
|Title:||The information matrix test. Simplified calculation via a score test interpretation|
|UCL classification:||UCL > School of Arts and Social Sciences|
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