Title: The information matrix test with bootstrap-based covariance matrix estimation
Authors: Dhaene, Geert ×
Hoorelbeke, Dirk #
Issue Date: Mar-2004
Publisher: Elsevier science sa
Series Title: Economics letters vol:82 issue:3 pages:341-347
Abstract: We propose an information matrix (IM) test in which the covariance matrix of the vector of indicators is estimated using the parametric bootstrap. Monte Carlo results and theoretical arguments show that its small sample performance is comparable with that of the efficient score form. 2003 Elsevier B.V. All rights reserved.
ISSN: 0165-1765
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of Econometrics, Leuven
× corresponding author
# (joint) last author

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