On the Corrections to Information Matrix Tests

Francisco Cribari-Neto
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Francisco Cribari-Neto: Southern Illinois University at Carbondale

Econometrics from University Library of Munich, Germany

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

Keywords: Bartlett correction; Cornish-Fisher expansion; Edgeworth expansion; heteroskedasticity test; information matrix test; normality test; size correction (search for similar items in EconPapers)
JEL-codes: C12 C52 (search for similar items in EconPapers)
Pages: 17 pages
Date: 1996-01-18
Note: Type of Document - PostScript from gTeX; prepared on a Dell that hums; to print on PostScript; pages: 17; figures: 1 (included). The PostScript file was FTP'ed.
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