Specification Testing with Locally Misspecified Alternatives

Anil K. Bera and Mann J. Yoon

Econometric Theory, 1993, vol. 9, issue 04, pages 649-658

Abstract: It is well known that most of the standard specification tests are not robust when the alternative is misspecified. Using the asymptotic distributions of standard Lagrange multiplier (LM) test under local misspecification, we suggest a robust specification test. This test essentially adjusts the mean and covariance matrix of the usual LM statistic. We show that for local misspecification the adjusted test is asymptotically equivalent to Neyman's C( ) test. The main advantage of the new test is that, compared to the C( ) test, it is much simpler to compute. Our procedure does require full specification of the model and there might be some loss of asymptotic power relative to the unadjusted test if the model is indeed correctly specified.

Date: 1993
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466600008021 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:9:y:1993:i:04:p:649-658_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().