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

DOI10.2307/2527323MaRDI QIDQ4889510zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic independenceasymptotic insensitivity of testsasymptotic local analysisequivalencemaximum likelihood estimationmisspecificationsensitivity of individual conditional moment tests

Mathematics Subject Classification ID

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

Recommendations

• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Consistent specification testing for conditional moment restrictions
• Generalized method of moments specification testing
• Testing conditional moment restrictions
• Adaptive tests of conditional moment inequalities

Cited in

(13)

• Maximum Likelihood Specification Testing and Conditional Moment Tests
• On the choice of test statistic for conditional moment inequalities
• A note on the relation between local power and robustness to misspecification
• A joint serial correlation test for linear panel data models
• Local sensitivity and diagnostic tests
• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
• A note on the Wald, LR and LM tests and misspecification
• Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models
• Asymptotic Theory of Integrated Conditional Moment Tests
• Asymptotic expansions and the reliability of tests in accelerated failure time models
• THE LIMITING PROPERTIES OF THE CANOVA AND HANSEN TEST UNDER LOCAL ALTERNATIVES
• On improving the robustness and reliability of Rao's score test
• Simulated conditional moment tests

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