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Structural Models of Wage and Employment Dynamics
Type: Book
ISBN: 978-0-44452-089-0

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Book part
Publication date: 30 March 2006

Abstract

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Structural Models of Wage and Employment Dynamics
Type: Book
ISBN: 978-0-44452-089-0

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Book part
Publication date: 30 March 2006

Dale T. Mortensen

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Structural Models of Wage and Employment Dynamics
Type: Book
ISBN: 978-0-44452-089-0

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Book part
Publication date: 21 November 2014

Jin Seo Cho and Halbert White

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…

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.

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Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

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