- <Source Information> Jin Seo Cho and Halbert L. White (2014): Advances in Econometrics: Essays in Honor of Peter C. B. Phillips. Vol. 33. Eds. Yoosoon Chang, Thomas B. Fomby, and Joon Y. Park, 491-556. West Yorkshire, UK: Emerald Group Publishing Limited.
- <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.