The information matrix test: Simplified calculation via a score test interpretation

Abstract

In Chesher (1982) I show that the Information Matrix test introduced by White (1982) is a score test for parameter constancy. In this letter I show that this result leads to a simple computational procedure for calculating the Information Matrix test. The procedure involves computing, for a sample of n observations, n times the R 2 from the least squares regression of a column of ones on a matrix whose elements are functions of 1st and 2nd derivatives of the log density function.