Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7348612 | Economics Letters | 2018 | 16 Pages |
Abstract
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.
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Authors
Haiqi Li, Rui Fan, Sung Y. Park,