Generalized empirical likelihood specification test robust to local misspecification
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Li, Haiqi | - |
dc.contributor.author | Fan, Rui | - |
dc.contributor.author | Park, Sung-yong | - |
dc.date.available | 2019-01-22T12:34:58Z | - |
dc.date.issued | 2018-10 | - |
dc.identifier.issn | 0165-1765 | - |
dc.identifier.issn | 1873-7374 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/722 | - |
dc.description.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. (C) 2018 Elsevier B.V. All rights reserved. | - |
dc.format.extent | 5 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.title | Generalized empirical likelihood specification test robust to local misspecification | - |
dc.type | Article | - |
dc.identifier.doi | 10.1016/j.econlet.2018.07.024 | - |
dc.identifier.bibliographicCitation | ECONOMICS LETTERS, v.171, pp 149 - 153 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.wosid | 000445988800034 | - |
dc.identifier.scopusid | 2-s2.0-85050817270 | - |
dc.citation.endPage | 153 | - |
dc.citation.startPage | 149 | - |
dc.citation.title | ECONOMICS LETTERS | - |
dc.citation.volume | 171 | - |
dc.type.docType | Article | - |
dc.publisher.location | 네델란드 | - |
dc.subject.keywordAuthor | Generalized empirical likelihood | - |
dc.subject.keywordAuthor | Local misspecification | - |
dc.subject.keywordAuthor | Robust specification test | - |
dc.subject.keywordPlus | MOMENT CONDITION MODELS | - |
dc.subject.keywordPlus | ESTIMATORS | - |
dc.subject.keywordPlus | GMM | - |
dc.subject.keywordPlus | INFERENCE | - |
dc.subject.keywordPlus | GEL | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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