Information matrix test
id:
information-matrix-test-192-13715879
title:
Information matrix test
text:
In econometrics, the information matrix test is used to determine whether a regression model is misspecified. The test was developed by Halbert White, who observed that in a correctly specified model and under standard regularity assumptions, the Fisher information matrix can be expressed in either of two ways: as the outer product of the gradient, or as a function of the Hessian matrix of the log-likelihood function. Consider a linear model y = X β + u , where the errors u are assumed to be dis
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wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Information_matrix_test
date created:
date modified:
2023-03-19T08:26:02Z
main entity:
{"identifier":"Q48997067","url":"https://www.wikidata.org/entity/Q48997067"}
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fields total:
13
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