Artículo
A new robust and most powerful test in the presence of local misspecification
Fecha de publicación:
08/2017
Editorial:
Taylor & Francis
Revista:
Communications In Statistics-theory And Methods
ISSN:
0361-0926
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
This article proposes a new test that is consistent, achieves correct asymptotic size, and is locally most powerful under local misspecification, and when any √n-estimator of the nuisance parameters is used. The new test can be seen as an extension of the Bera and Yoon (1993) procedure that deals with non maximum likelihood (ML) estimation, while preserving its optimality properties. Similarly, the proposed test extends Neyman's (1959) C(α) test to handle locally misspecified alternatives. A Monte Carlo study investigates the finite sample performance in terms of size, power, and robustness to misspecification.
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Articulos(IIEP)
Articulos de INST. INTER. DE ECONOMIA POLITICA DE BUENOS AIRES
Articulos de INST. INTER. DE ECONOMIA POLITICA DE BUENOS AIRES
Citación
Bera, Anil K.; Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; A new robust and most powerful test in the presence of local misspecification; Taylor & Francis; Communications In Statistics-theory And Methods; 46; 16; 8-2017; 8187-8198
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