The Small-Sample Performance of the Information-Matrix Test.

Orme, C. (1990). The Small-Sample Performance of the Information-Matrix Test. Journal of Econometrics, 46(3), 309-331.

Type

Journal article

Intellectual base

Primary research

Year

1990

DOI

10.1016/0304-4076(90)90012-i

Link

https://doi.org/10.1016/0304-4076(90)90012-I

Cited by

1 citation across 1 artifact.

Domain-specific

• Information matrix test
  • Monte Carlo evidence shows that convenient \(nR^2\) variants can have poor finite-sample size, so an asymptotic reference distribution must not be reported as an exact small-sample guarantee.

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