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A Note on the Relationship between the Information Matrix Test and a Score Test for Parameter Constancy

Information matrix (IM) test (White, 1982) has been used for detecting general model misspecification in the applied econometrics literature. Two of the most commonly used asymptotic covariance matrix estimators (ACMEs) for the IM test are the one that White (1982) proposed in his original paper and Chesher (1983)'s ACME. Chesher (1984) showed that the IM test is in effect a score test for parameter constancy. In this note, I show that the IM test with White''s ACME is not only the score test but also a specification robust form of the score test or a score test for quasi-maximum likelihood estimators. Based on this result, it is argued that we should be careful in selecting the ACME for properly interpreting the consequence of the IM test.