Simulated conditional moment tests

Chris D. Orme

doi:10.1016/0165-1765(95)00679-A

Simulated conditional moment tests

Chris D. Orme

Economics

University of York

Research output: Contribution to journal › Article › peer-review

Abstract

This paper proposes a simulation method that improves the finite sample behaviour of test statistics in the context of maximum likelihood estimation. The potential of such a technique is illustrated by examining the performance of an Information Matrix test. © 1995.

Original language	English
Pages (from-to)	239-245
Number of pages	6
Journal	Economics Letters
Volume	49
Issue number	3
DOIs	https://doi.org/10.1016/0165-1765(95)00679-A
Publication status	Published - Sept 1995

Keywords

Finite sample behaviour
Information Matrix test
Simulation techniques

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10.1016/0165-1765(95)00679-A

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title = "Simulated conditional moment tests",

abstract = "This paper proposes a simulation method that improves the finite sample behaviour of test statistics in the context of maximum likelihood estimation. The potential of such a technique is illustrated by examining the performance of an Information Matrix test. {\textcopyright} 1995.",

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year = "1995",

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AB - This paper proposes a simulation method that improves the finite sample behaviour of test statistics in the context of maximum likelihood estimation. The potential of such a technique is illustrated by examining the performance of an Information Matrix test. © 1995.

KW - Finite sample behaviour

KW - Information Matrix test

KW - Simulation techniques

U2 - 10.1016/0165-1765(95)00679-A

DO - 10.1016/0165-1765(95)00679-A

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SN - 0165-1765

VL - 49

SP - 239

EP - 245

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Simulated conditional moment tests

Abstract

Keywords

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