GMM based tests for locally misspecified models

Autores
Bera, Anil K.; Sosa Escudero, Walter
Año de publicación
2002
Idioma
inglés
Tipo de recurso
documento de conferencia
Estado
versión publicada
Descripción
This paper shows that the standard Newey-West GMM based test is sensitive to the presence of locally misspecified alternatives. In particular, such test is shown to have incorrect size when the null model is locally contaminated, making the test spuriously reject the null hypothesis even when it is correct. After obtaining the distribution of the Newey-West test statistic under the misspecified alternative, the paper derives a Bera-Yoon modified test based on a restricted GMM estimator, which has the correct size under local misspecification. The paper can be seen as extending the likelihood based results of Saikkonen (1989), Davidson and MacKinnon (1987) and Bera and Yoon (1993) to the GMM framework, which does not require full specification of the underlying probabilistic model.
Facultad de Ciencias Económicas
Materia
Ciencias Económicas
generalized method of moments
testing
misspecification
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by-nc-sa/4.0/
Repositorio
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/173850
Acceder
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oai_identifier_str oai:sedici.unlp.edu.ar:10915/173850
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repository_id_str 1329
network_name_str SEDICI (UNLP)
spelling GMM based tests for locally misspecified modelsBera, Anil K.Sosa Escudero, WalterCiencias Económicasgeneralized method of momentstestingmisspecificationThis paper shows that the standard Newey-West GMM based test is sensitive to the presence of locally misspecified alternatives. In particular, such test is shown to have incorrect size when the null model is locally contaminated, making the test spuriously reject the null hypothesis even when it is correct. After obtaining the distribution of the Newey-West test statistic under the misspecified alternative, the paper derives a Bera-Yoon modified test based on a restricted GMM estimator, which has the correct size under local misspecification. The paper can be seen as extending the likelihood based results of Saikkonen (1989), Davidson and MacKinnon (1987) and Bera and Yoon (1993) to the GMM framework, which does not require full specification of the underlying probabilistic model.Facultad de Ciencias Económicas2002-11info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionObjeto de conferenciahttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdfhttp://sedici.unlp.edu.ar/handle/10915/173850enginfo:eu-repo/semantics/altIdentifier/url/https://bd.aaep.org.ar/anales/works/works2002/bera_escudero.pdfinfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-sa/4.0/Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-29T11:43:16Zoai:sedici.unlp.edu.ar:10915/173850Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-29 11:43:17.256SEDICI (UNLP) - Universidad Nacional de La Platafalse
dc.title.none.fl_str_mv GMM based tests for locally misspecified models
title GMM based tests for locally misspecified models
spellingShingle GMM based tests for locally misspecified models
Bera, Anil K.
Ciencias Económicas
generalized method of moments
testing
misspecification
title_short GMM based tests for locally misspecified models
title_full GMM based tests for locally misspecified models
title_fullStr GMM based tests for locally misspecified models
title_full_unstemmed GMM based tests for locally misspecified models
title_sort GMM based tests for locally misspecified models
dc.creator.none.fl_str_mv Bera, Anil K.
Sosa Escudero, Walter
author Bera, Anil K.
author_facet Bera, Anil K.
Sosa Escudero, Walter
author_role author
author2 Sosa Escudero, Walter
author2_role author
dc.subject.none.fl_str_mv Ciencias Económicas
generalized method of moments
testing
misspecification
topic Ciencias Económicas
generalized method of moments
testing
misspecification
dc.description.none.fl_txt_mv This paper shows that the standard Newey-West GMM based test is sensitive to the presence of locally misspecified alternatives. In particular, such test is shown to have incorrect size when the null model is locally contaminated, making the test spuriously reject the null hypothesis even when it is correct. After obtaining the distribution of the Newey-West test statistic under the misspecified alternative, the paper derives a Bera-Yoon modified test based on a restricted GMM estimator, which has the correct size under local misspecification. The paper can be seen as extending the likelihood based results of Saikkonen (1989), Davidson and MacKinnon (1987) and Bera and Yoon (1993) to the GMM framework, which does not require full specification of the underlying probabilistic model.
Facultad de Ciencias Económicas
description This paper shows that the standard Newey-West GMM based test is sensitive to the presence of locally misspecified alternatives. In particular, such test is shown to have incorrect size when the null model is locally contaminated, making the test spuriously reject the null hypothesis even when it is correct. After obtaining the distribution of the Newey-West test statistic under the misspecified alternative, the paper derives a Bera-Yoon modified test based on a restricted GMM estimator, which has the correct size under local misspecification. The paper can be seen as extending the likelihood based results of Saikkonen (1989), Davidson and MacKinnon (1987) and Bera and Yoon (1993) to the GMM framework, which does not require full specification of the underlying probabilistic model.
publishDate 2002
dc.date.none.fl_str_mv 2002-11
dc.type.none.fl_str_mv info:eu-repo/semantics/conferenceObject
info:eu-repo/semantics/publishedVersion
Objeto de conferencia
http://purl.org/coar/resource_type/c_5794
info:ar-repo/semantics/documentoDeConferencia
format conferenceObject
status_str publishedVersion
dc.identifier.none.fl_str_mv http://sedici.unlp.edu.ar/handle/10915/173850
url http://sedici.unlp.edu.ar/handle/10915/173850
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://bd.aaep.org.ar/anales/works/works2002/bera_escudero.pdf
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-sa/4.0/
Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-sa/4.0/
Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:SEDICI (UNLP)
instname:Universidad Nacional de La Plata
instacron:UNLP
reponame_str SEDICI (UNLP)
collection SEDICI (UNLP)
instname_str Universidad Nacional de La Plata
instacron_str UNLP
institution UNLP
repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
repository.mail.fl_str_mv alira@sedici.unlp.edu.ar
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