Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171895
Authors: 
Golden, Richard M.
Henley, Steven S.
White, Halbert
Kashner, T. Michael
Year of Publication: 
2016
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 4 [Year:] 2016 [Issue:] 4 [Pages:] 1-24
Abstract: 
Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying, classifying, and deriving novel model misspecification tests for finite-dimensional smooth probability models. These GIMTs include previously published as well as newly developed information matrix tests. To illustrate the application of the GIMT framework, we derived and assessed the performance of new GIMTs for binary logistic regression. Although all GIMTs exhibited good level and power performance for the larger sample sizes, GIMT statistics with fewer degrees of freedom and derived using log-likelihood third derivatives exhibited improved level and power performance.
Subjects: 
asymptotic theory
Information Matrix Test
specification analysis
logistic regression
simulation study
information ratio
misspecification
JEL: 
C12
C13
C15
C18
C52
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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