A note on the relation between local power and robustness to misspecification

DOI10.1016/J.ECONLET.2012.01.020MaRDI QIDQ1925698zbMATH OpenOpenAlexFDO

Authors Patrik Guggenberger

Publication date 18 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.01.020

zbMATH Keywords

hypothesis testingmodel misspecificationrobustnesslocal powerasymptotic size

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Statistical methods; economic indices and measures (91B82) Robustness and adaptive procedures (parametric inference) (62F35)

Recommendations

• A new robust and most powerful test in the presence of local misspecification
• GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS
• Generalized empirical likelihood specification test robust to local misspecification
• On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives
• Higher‐order asymptotics under model misspecification

Cites work

• Distortions of asymptotic confidence size in locally misspecified moment inequality models
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Inference for parameters defined by moment inequalities using generalized moment selection
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• Testing Parameters in GMM Without Assuming that They Are Identified
• Tests with correct size when instruments can be arbitrarily weak

Cited in

(1)

• A new robust and most powerful test in the presence of local misspecification

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