Tests for nonlinear restrictions under misspecified alternatives with an application to testing rational expectation hypotheses

DOI10.1093/ECTJ/UTAA010MaRDI QIDQ5083248zbMATH OpenOpenAlexFDO

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

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ectj/utaa010

zbMATH Keywords

GMMspecification testingLagrange multiplier testslocal misspecificationRao's score testsnonlinear testing functions

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(2)

• A new test for non-linear hypotheses under distributional and local parametric misspecification
• On testing the properties of directly obtained expectations data

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