[R] information matrix test in r/s

Charles Annis, P.E. Charles.Annis at statisticalengineering.com
Wed Sep 24 22:54:16 CEST 2003

Greetings, Fellow R-ians:

I'm working with a few different quasi-likelihood formulations for some data
I'm analyzing.  I'd like to implement the Information Matrix Test (see,
e.g., White, 1982, or Lancaster, 1984) for each of them to determine which
of the models is more likely.  Since the null distribution of the test
statistic is chi-squared, I envision calculating the ordinate of the sample
value to give P(data|model) and using those values (and a discrete uniform
prior on the model-space) to calculate Bayes Factors.

Is there any pre-existing package which performs this test in R?

Halbert White, "Maximum Likelihood Estimation of Misspecified Models,"
Econometrica Vol. 50, No. 1, (Jan., 1982) pp.1-26

Tony Lancaster, "The Covariance Matrix of the Information Matrix Test,"
Econometrica, Vol 52, No.4, (July, 1984), pp.1051-1054

I would be grateful for any suggestions.

Many Thanks.

Charles Annis, P.E.

Charles.Annis at StatisticalEngineering.com
phone: 561-352-9699
eFAX: 503-217-5849

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