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

DOI10.1093/ECTJ/UTAA010OpenAlexW3023828554MaRDI QIDQ5083248FDOQ5083248

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

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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