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

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)

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

(10)

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

This page was built for publication: On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4889510)