Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing

Jin Seo Cho () and Halbert White

No 2014rwp-67, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: We provide a new characterization of the equality of two positive-definite matrices A and B, and we use this to propose several new computationally convenient statistical tests for the equality of two unknown positive-definite matrices. Our primary focus is on testing the information matrix equality (e.g., White, 1982, 1994). We characterize the asymptotic behavior of our new trace-determinant information matrix test statistics under the null and the alternative and investigate their finite-sample performance for a variety of models: linear regression, exponential duration, probit, and Tobit. The parametric bootstrap suggested by Horowitz (1994) delivers critical values that provide admirable level behavior, even in samples as small as n ¨¡ 50. Our new tests often have better power than the parametric-bootstrap version of the traditional IMT; when they do not, they nevertheless perform respectably.

Keywords: Matrix equality; Information matrix test; Eigenvalues; Trace; Determinant; Eigenspectrum test; Parametric Bootstrap. (search for similar items in EconPapers)
JEL-codes: C01 C12 C52 (search for similar items in EconPapers)
Pages: 57pages
Date: 2014-07
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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