Tests for nonlinear restrictions under misspecified alternatives with an application to testing rational expectation hypotheses

DOI10.1093/ECTJ/UTAA010OpenAlexW3023828554MaRDI QIDQ5083248

Javier Alejo, Anil K. Bera, Gabriel V. Montes-Rojas, Walter Sosa-Escudero

Publication date: 22 June 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/ectj/utaa010

zbMATH Keywords

local misspecification GMM Rao's score tests specification testing Lagrange multiplier tests nonlinear testing functions

Mathematics Subject Classification ID

Statistics (62-XX)

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