Generalized empirical likelihood specification test robust to local misspecification

Citations

WEB OF SCIENCE

0
Citations

SCOPUS

0

초록

It is well known that many of the standard specification tests may not be robust when the alternative is misspecified. This study analyzes a robust specification test for generalized empirical likelihood (GEL) estimators in a weakly dependent time series setting. We show that the usual score test statistic asymptotically follows a non-central chi-square distribution under the local misspecification in the GEL framework. Thus, it spuriously rejects the null hypothesis too frequently. We propose a robust score specification test that asymptotically follows a central chi-square distribution under the local misspecification. A Monte Carlo simulation verifies the usefulness of the proposed tests. (C) 2018 Elsevier B.V. All rights reserved.

키워드

Generalized empirical likelihoodLocal misspecificationRobust specification testMOMENT CONDITION MODELSESTIMATORSGMMINFERENCEGEL
제목
Generalized empirical likelihood specification test robust to local misspecification
저자
Li, HaiqiFan, RuiPark, Sung-yong
DOI
10.1016/j.econlet.2018.07.024
발행일
2018-10
유형
Article
저널명
Economics Letters
171
페이지
149 ~ 153