Tests for nonlinear restrictions under misspecified alternatives with an application to testing rational expectation hypotheses
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Publication:5083248
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
local misspecificationGMMRao's score testsspecification testingLagrange multiplier testsnonlinear testing functions
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