A new test for non-linear hypotheses under distributional and local parametric misspecification

DOI10.1515/SNDE-2022-0043MaRDI QIDQ6553229zbMATH OpenWikidataFDO

Authors Anil K. Bera, Osman Doğan, Süleyman Taşpınar

Publication date 11 June 2024

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

zbMATH Keywords

QMLELM testRao's score testrobust LM testparametric misspecificationdistributional misspecification

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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• Implicit Alternatives and the Local Power of Test Statistics
• Invariance, Nonlinear Models, and Asymptotic Tests
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• On the Formulation of Wald Tests of Nonlinear Restrictions
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• Tests for nonlinear restrictions under misspecified alternatives with an application to testing rational expectation hypotheses
• Tests for the error component model in the presence of local misspecification
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large
• The Lagrangian Multiplier Test
• The asymptotic covariance matrix of the QMLE in ARMA models
• The performance of the likelihood ratio test when the model is incorrect

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