TY  - CHAP
AB  - Abstract We provide a new characterization of the equality of two positive-definite matrices A and B, and we use this to propose several new computationally convenient statistical tests for the equality of two unknown positive-definite matrices. Our primary focus is on testing the information matrix equality (e.g. White, 1982, 1994). We characterize the asymptotic behavior of our new trace-determinant information matrix test statistics under the null and the alternative and investigate their finite-sample performance for a variety of models: linear regression, exponential duration, probit, and Tobit. The parametric bootstrap suggested by Horowitz (1994) delivers critical values that provide admirable level behavior, even in samples as small as n = 50. Our new tests often have better power than the parametric-bootstrap version of the traditional IMT; when they do not, they nevertheless perform respectably.
VL  - 33
SN  - 978-1-78441-183-1/0731-9053
DO  - 10.1108/S0731-905320140000033014
UR  - https://doi.org/10.1108/S0731-905320140000033014
AU  - Cho Jin Seo
AU  - White Halbert
PY  - 2014
Y1  - 2014/01/01
TI  - Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing☆A glossary of notation and the program codes written in GAUSS for our simulations are available at: http://web.yonsei.ac.kr/jinseocho/research.htm
T2  - Essays in Honor of Peter C. B. Phillips
T3  - Advances in Econometrics
PB  - Emerald Group Publishing Limited
SP  - 491
EP  - 556
Y2  - 2024/04/19
ER  -