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The information matrix test in the linear regression with ARMA errors

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Summary

The paper shows that the informaton matrix test presented by White (1982) decomposes into the sum of quadratic forms in the case of a linear model with ARMA errors. By extending previous results, which analysed the information matrix test in the presence of serial correlation, the test allows detection of additional sources of misspecification.

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Authors and Affiliations

  1. University di Cassino, Via S. Lucia 173, 80132, Napoli, Italy

    Marilena Furno

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  1. Marilena Furno
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Furno, M. The information matrix test in the linear regression with ARMA errors. J. It. Statist. Soc. 5, 369–385 (1996). https://doi.org/10.1007/BF02589097

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  • DOI: https://doi.org/10.1007/BF02589097

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