GMM based tests for locally misspecified models

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Fil: Sosa Escudero, Walter. Universidad de San Andrés. Departamento de Economía; Argentina.

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Autor principal: Sosa Escudero, Walter
Formato: Documento de Trabajo Documento de trabajo draft
Lenguaje:Inglés
Publicado: Universidad de San Andrés. Departamento de Economía 2016
Acceso en línea:http://hdl.handle.net/10908/11920
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Repositorio Digital - Universidad de San Andrés (UdeSa) de Universidad de San Andrés
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spelling I37-R143-10908-119202024-09-20T14:24:31Z GMM based tests for locally misspecified models Sosa Escudero, Walter Fil: Sosa Escudero, Walter. Universidad de San Andrés. Departamento de Economía; Argentina. This paper shows that the standard Newey-West GMM based test is sensitive to the presence of locally misspecified alternatives. In particular, such test is shown to have incorrect size when the null model is locally contaminated, making the test spuriously reject the null hypothesis even when it is correct. After obtaining the distribution of the Newey-West test statistic under the misspecified alternative, the paper derives a Bera-Yoon modified test based on a restricted GMM estimator, which has the correct size under local misspecification. The paper can be seen as extending the likelihood based results of Saikkonen (1989), Davidson and MacKinnon (1987) and Bera and Yoon (1993) to the GMM framework, which does not require full specification of the underlying probabilistic model. 2016-11-30T15:54:42Z 2016-11-30T15:54:42Z 2006-09 Documento de Trabajo info:eu-repo/semantics/workingPaper info:ar-repo/semantics/documento de trabajo info:eu-repo/semantics/draft http://hdl.handle.net/10908/11920 eng Documento de trabajo (Universidad de San Andrés. Departamento de Economía);93 info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf application/pdf Universidad de San Andrés. Departamento de Economía
institution Universidad de San Andrés
institution_str I-37
repository_str R-143
collection Repositorio Digital - Universidad de San Andrés (UdeSa)
language Inglés
description Fil: Sosa Escudero, Walter. Universidad de San Andrés. Departamento de Economía; Argentina.
format Documento de Trabajo
Documento de trabajo
Documento de trabajo
draft
author Sosa Escudero, Walter
spellingShingle Sosa Escudero, Walter
GMM based tests for locally misspecified models
author_facet Sosa Escudero, Walter
author_sort Sosa Escudero, Walter
title GMM based tests for locally misspecified models
title_short GMM based tests for locally misspecified models
title_full GMM based tests for locally misspecified models
title_fullStr GMM based tests for locally misspecified models
title_full_unstemmed GMM based tests for locally misspecified models
title_sort gmm based tests for locally misspecified models
publisher Universidad de San Andrés. Departamento de Economía
publishDate 2016
url http://hdl.handle.net/10908/11920
work_keys_str_mv AT sosaescuderowalter gmmbasedtestsforlocallymisspecifiedmodels
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