Tests for the error component model in the presence of local misspecification
It is well known that most of the standard specification tests are not valid when the alternative hypothesis is misspecified. This is particularly true in the error component model, when one tests for either random effects or serial correlation without taking account of the presence of the other eff...
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Autores principales: | , , |
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Formato: | Articulo Documento de trabajo |
Lenguaje: | Inglés |
Publicado: |
2000
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Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/3506 http://www.depeco.econo.unlp.edu.ar/doctrab/doc22.pdf |
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I19-R120-10915-3506 |
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institution |
Universidad Nacional de La Plata |
institution_str |
I-19 |
repository_str |
R-120 |
collection |
SEDICI (UNLP) |
language |
Inglés |
topic |
Ciencias Económicas economía investigación |
spellingShingle |
Ciencias Económicas economía investigación Bera, Anil K. Sosa Escudero, Walter Yoon, Mann Tests for the error component model in the presence of local misspecification |
topic_facet |
Ciencias Económicas economía investigación |
description |
It is well known that most of the standard specification tests are not valid when the alternative hypothesis is misspecified. This is particularly true in the error component model, when one tests for either random effects or serial correlation without taking account of the presence of the other effect. In this paper we study the size and power of the standard Rao´s score tests analytically and by simulation when the data is contaminated by local misspecification. These tests are adversely affected under misspecification. We suggest simple procedures to test for random effects (or serial correlation) in the presence of local serial correlation (or random effects), and these tests require ordinary least squares residuals only. Our Monte Carlo results demonstrate that the suggested tests have good finite sample properties for local misspecification, and in some cases even for far distant misspecification. Our tests are also capable of detecting the right direction of the departure from the null hypothesis. We also provide some empirical illustrations to highlight the usefulness of our tests. |
format |
Articulo Documento de trabajo |
author |
Bera, Anil K. Sosa Escudero, Walter Yoon, Mann |
author_facet |
Bera, Anil K. Sosa Escudero, Walter Yoon, Mann |
author_sort |
Bera, Anil K. |
title |
Tests for the error component model in the presence of local misspecification |
title_short |
Tests for the error component model in the presence of local misspecification |
title_full |
Tests for the error component model in the presence of local misspecification |
title_fullStr |
Tests for the error component model in the presence of local misspecification |
title_full_unstemmed |
Tests for the error component model in the presence of local misspecification |
title_sort |
tests for the error component model in the presence of local misspecification |
publishDate |
2000 |
url |
http://sedici.unlp.edu.ar/handle/10915/3506 http://www.depeco.econo.unlp.edu.ar/doctrab/doc22.pdf |
work_keys_str_mv |
AT beraanilk testsfortheerrorcomponentmodelinthepresenceoflocalmisspecification AT sosaescuderowalter testsfortheerrorcomponentmodelinthepresenceoflocalmisspecification AT yoonmann testsfortheerrorcomponentmodelinthepresenceoflocalmisspecification |
bdutipo_str |
Repositorios |
_version_ |
1764820470783279106 |