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

DOI10.1016/J.ECONLET.2012.01.020zbMATH Open1253.91142OpenAlexW1965395888MaRDI QIDQ1925698FDOQ1925698

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

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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)

Cites Work

• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• 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
• Tests with correct size when instruments can be arbitrarily weak
• Testing Parameters in GMM Without Assuming that They Are Identified
• Distortions of asymptotic confidence size in locally misspecified moment inequality models

Cited In (1)

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

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