The information matrix test with bootstrap-based covariance matrix estimation

Autor:	Geert Dhaene, Dirk Hoorelbeke
Rok vydání:	2004
Předmět:	Economics and Econometrics Covariance function Covariance matrix Covariance symbols.namesake Estimation of covariance matrices Scatter matrix Centering matrix Statistics symbols Statistics::Methodology Applied mathematics CMA-ES Fisher information Finance Mathematics
Zdroj:	Economics Letters. 82:341-347
ISSN:	0165-1765
DOI:	10.1016/j.econlet.2003.09.002
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5e5129e59f52bd44da85707b6d8c3702 https://doi.org/10.1016/j.econlet.2003.09.002 Zobrazit plný text záznamu Full Text from ScienceDirect