English, Article, Journal or magazine article edition: Bartlett Identities Tests GouriŽroux, Christian; CHESHER, Andrew; DHAENE, Geert; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/178735
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Bartlett identities tests.
Author
  • GouriŽroux, Christian
  • CHESHER, Andrew
  • DHAENE, Geert
  • GOURIEROUX, Christian
  • SCAILLET, Olivier
Physical Description
  • preprint
Notes
  • In this note we propose a general testing procedure for parametric models based on Bartlett Identities. A well-know example is the Information Matrix test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequence of testable restrictions on the data generating process. When all the restrictions are considered jointly, they are often complete, in the sense that they are satisfied if and only if the model is correctly specified. We show that this is the case for normal, exponential and Poisson models. A test of the joint validity of an arbitrarily chosen subset of restrictions is proposed, and its first order asymptotic properties are presented. An interpretation of the test as a score test for neglected parameter heterogeneity is also given.
  • Bartlett Identities; information matrix test; specification test
  • RePEc:ctl:louvir:1999019
  • In this note we propose a general testing procedure for parametric models based on Bartlett Identities. A well-known example is the Information Matrix test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequenceof testable restrictions on the data generating process. When all the restrictions are considered jointly, they are often complete, in the sense that they are satisfied if and only if the model is correctly specified. We show that this is the case for normal, exponential and Poisson models. A test of the joint validity of an arbitrarily chosen subset of restrictions is proposed, and its first order asymptotic properties are presented. An interpretation of the test as a score test for neglected parameter heterogeneity is also given.
  • Bartlett Identities, information matrix test, speciÞcation test.
  • RePEc:cor:louvco:1999039
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment