A New Form of the Information Matrix Test

Russell Davidson and James MacKinnon

Econometrica, 1992, vol. 60, issue 1, 145-57

Abstract: A new form of the information matrix test is developed for a wide variety of statistical models. The test is constructed against an explicit alternative with random parameter variation. It is computed using a double-length artificial regression instead of the more conventional outer-product-of-the-gradient regression, which is known to have very poor finite-sample properties. In Monte Carlo experiments for the case of univariate linear regression models, the new form performs remarkably well. Some approximate finite-sample distributions are also calculated for this case and lend support to the use of the new form. Copyright 1992 by The Econometric Society.

Date: 1992
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Working Paper: A New Form of the Information Matrix Test (1988)
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