文章基本信息

标题：Multivariate Hermite polynomials and information matrix tests
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作者：Dante Amengual ; Gabriele Fiorentini ; Enrique Sentana 等
期刊名称：CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
出版年度：2021
卷号：2103
语种：English
出版社：Centro de Estudios Monetarios y Financieros, Madrid
摘要：We show that the information matrix test for a multivariate normal random vector coincides with the sum of the two moment tests that look at the means of all the different third- and fourth-order multivariate Hermite polynomials, respectively. We also explain how to simulate its exact, parameter-free, finite sample distribution to any desired degree of accuracy for any dimension of the random vector and sample size. Specifically, we exploit the numerical invariance of the test statistic to affine transformations of the observed variables to simulate draws extremely quickly.