On the corrections to information matrix tests

Francisco Cribari-Neto

Econometric Reviews, 1997, vol. 16, issue 1, 39-53

Abstract: This paper addresses the issue of designing finite-sample corrections to information matrix tests. We review a Cornish-Fisher correction that has been propowed elsewhere and propose an alternative, Bartlett-type correction. Simulation results for skewness, excess kurtosis, normality and heteroskedasticity tests are given.

Keywords: and Phrases: Bartlett correction: Cornish-Fisher expansion: Edgeworth expansion; heteroskedasticity test; information matrix test; normality test; size-correction, (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (3)

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DOI: 10.1080/07474939708800371

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