CHESHER, Andrew; DHAENE, Geert; GOURIEROUX, Christian; … - Center for Operations Research and Econometrics (CORE), … - 1999
In this note we propose a general testing procedure for parametric models based on Bartlett Identities. A well-known example is the Information Matrix test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequenceof testable restrictions on the data...