On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives

DOI10.2307/2527323zbMATH Open0853.62091OpenAlexW2101537659MaRDI QIDQ4889510FDOQ4889510

Authors: L. G. Godfrey, Chris D. Orme 

Publication date: 12 August 1996

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2527323

Recommendations

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zbMATH Keywords

maximum likelihood estimationmisspecificationasymptotic independenceequivalenceasymptotic local analysisasymptotic insensitivity of testssensitivity of individual conditional moment tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05) Parametric inference under constraints (62F30)

Cited In (8)

• Asymptotic expansions and the reliability of tests in accelerated failure time models
• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
• THE LIMITING PROPERTIES OF THE CANOVA AND HANSEN TEST UNDER LOCAL ALTERNATIVES
• A joint serial correlation test for linear panel data models
• On improving the robustness and reliability of Rao's score test
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Local sensitivity and diagnostic tests
• On the choice of test statistic for conditional moment inequalities

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