GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS

DOI10.1017/S0266466609990818MaRDI QIDQ2995424zbMATHOpenAlexWikidataFDO

Authors Anil K. Bera, Gabriel Montes-Rojas, Walter Sosa-Escudero

Publication date 21 April 2011

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466609990818

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20)

Recommendations

• Specification testing for errors-in-variables models
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• Tests for the error component model in the presence of local misspecification
• Specification testing in semi-parametric transformation models
• Testing under local misspecification and artificial regressions

Cites work

• Alternative approaches to testing by variable addition
• Frequentist probability and frequentist statistics
• Hypothesis Testing with Efficient Method of Moments Estimation
• Implicit Alternatives and the Local Power of Test Statistics
• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum Likelihood Estimation of Misspecified Models
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• ON SOME OPTIMALITY PROPERTIES OF FISHER-RAO SCORE FUNCTION IN TESTING AND ESTIMATION
• Rao's score test with nonparametric density estimators
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Tests for the error component model in the presence of local misspecification

Cited in

(11)

• Subgraph network random effects error components models: specification and testing
• A note on the relation between local power and robustness to misspecification
• A new test for non-linear hypotheses under distributional and local parametric misspecification
• Network ANOVA random effects models for node attributes
• Models of the general theory of test construction of relatively constant malfunctions
• Generalized method of moments specification testing
• A Bayesian robust chi-squared test for testing simple hypotheses
• Score tests in GMM: why use implied probabilities?
• Tests for the error component model in the presence of local misspecification
• A new class of tests for overidentifying restrictions in moment condition models
• Generalized empirical likelihood specification test robust to local misspecification

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