Bootstrapping the Information Matrix Test

UCSD Economics Working Paper No. 2000-04

103 Pages Posted: 22 Nov 2000

See all articles by Christopher Stomberg

Christopher Stomberg

University of California, San Diego (UCSD) - Department of Economics

Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Date Written: April 2000

Abstract

In this paper we provide considerable Monte Carlo evidence on the finite sample performance of several alternative forms of White?s [1982] IM test. Using linear regression and probit models, we extend the range of previous analysis in a manner that reveals new patterns in the behavior of the asymptotic version of the IM test ? particularly with respect to curse of dimensionality effects. We also explore the potential of parametric and nonparametric bootstrap methods for reducing the size bias that characterizes the asymptotic IM test. The nonparametric bootstrap is of particular interest because of the weak conditions it imposes, but the results of our Monte Carlo experiments suggest that this technique is not without limitations. The parametric bootstrap demonstrates good size and power in reasonably small samples, but requires assumptions that may be auxiliary from the standpoint of a QMLE. We observe that the effects of violating one of these auxiliary assumptions has a non-trivial impact on the size of IM tests that employ this technique.

Keywords: Information Matrix Testing, Specification Testing, Misspecification, QMLE, Nonparametric Bootstrap, Parametric Bootstrap, Monte Carlo, White Test, Probit Model, Linear Regression Model

JEL Classification: C15, C12, C52

Suggested Citation

Stomberg, Christopher and White, Halbert L., Bootstrapping the Information Matrix Test (April 2000). UCSD Economics Working Paper No. 2000-04, Available at SSRN: https://ssrn.com/abstract=236990 or http://dx.doi.org/10.2139/ssrn.236990

Christopher Stomberg (Contact Author)

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
(858)534-3383 (Phone)
(858)534-7040 (Fax)

Halbert L. White

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3502 (Phone)
858-534-7040 (Fax)

HOME PAGE: http://www.econ.ucsd.edu/~mbacci/white/

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