On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives
Leslie Godfrey and
Chris Orme ()
International Economic Review, 1996, vol. 37, issue 2, 263-81
This paper employs asymptotic local analysis in order to examine the sensitivity of individual conditional moment tests to sources of misspecification for which they were not specifically designed. In the context of maximum likelihood estimation, the authors find an exact equivalence between the conditions for asymptotic insensitivity of tests and their asymptotic independence. This equivalence does not hold for models estimated by extremum methods. Examples are given to illustrate the general results. Copyright 1996 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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