The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation

Geert Dhaene and Dirk Hoorelbeke

Working Papers of Department of Economics, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven

Abstract: We propose an information matrix test in which the covariance matrix of the vector of indicators is estimated using the parametric bootstrap. Monte Carlo results and heuristic arguments show that its small sample performance is comparable with that of the efficient score form.

Date: 2002-03
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Journal Article: The information matrix test with bootstrap-based covariance matrix estimation (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ete:ceswps:ces0211

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