Generalized empirical likelihood specification test robust to local misspecification
- Authors
- Li, Haiqi; Fan, Rui; Park, Sung-yong
- Issue Date
- Oct-2018
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Generalized empirical likelihood; Local misspecification; Robust specification test
- Citation
- ECONOMICS LETTERS, v.171, pp 149 - 153
- Pages
- 5
- Journal Title
- ECONOMICS LETTERS
- Volume
- 171
- Start Page
- 149
- End Page
- 153
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/722
- DOI
- 10.1016/j.econlet.2018.07.024
- ISSN
- 0165-1765
1873-7374
- 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.
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Collections - College of Business & Economics > School of Economics > 1. Journal Articles
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