A new robust and most powerful test in the presence of local misspecification

References

• Anselin, L., Bera, A., Florax, R., Yoon, M. (1996). Simple diagnostic tests for spatial dependence. Reg. Sci. Urban Econ. 26:77–104.
   Web of Science ®Google Scholar
• Baltagi, B., Li, D. (2001). LM tests for functional form and spatial error correlation. Int. Reg. Sci. Rev. 24:194–225.
   Web of Science ®Google Scholar
• Baltagi, B.H., Song, S.H., Jung, B.C. (2001). The unbalanced nested error component regression model. J. Econom. 101:357–381.
   Web of Science ®Google Scholar
• Baltagi, B.H., Song, S.H., Jung, B.C. (2002). Simple LM tests for the unbalanced nested error component regression model. Econ. Rev. 21(2):167–187.
   Google Scholar
• Bera, A., Bilias, Y. (2001a). On some optimality properties of Fisher-Rao score function in testing and estimation. Commun. Stat. Theory Methods 30:1533–1559.
   Web of Science ®Google Scholar
• Bera, A., Bilias, Y. (2001b). Rao's score, Neyman's C(α) and Silvey's LM tests: An essay on historical developments and some new results. J. Stat. Plann. Inference 97:9–44.
   Web of Science ®Google Scholar
• Bera, A., Montes-Rojas, G., Sosa-Escudero, W. (2009). Testing under local misspecification and artificial regressions. Econ. Lett. 104:66–68.
   Web of Science ®Google Scholar
• Bera, A., Montes-Rojas, G., Sosa-Escudero, W. (2010). General specification testing with locally misspecified models. Econom. Theory 26:1838–1845.
   Web of Science ®Google Scholar
• Bera, A., Sosa-Escudero, W., Yoon, M. (2001). Tests for the error component model in the presence of local misspecification. J. Econom. 101:1–23.
   Web of Science ®Google Scholar
• Bera, A., Yoon, M. (1993). Specification testing with locally misspecified alternatives. Econom. Theory 9:649–658.
   Web of Science ®Google Scholar
• Breusch, T.S., Pagan, A.R. (1979). A simple test for heteroskedasticity and random coefficient variation. Econometrica 47:1287–1294.
   Web of Science ®Google Scholar
• Box, G. (1953). Non-normalities and tests on variances. Biometrika 40:318–335.
   Web of Science ®Google Scholar
• Cox, D.R., Hinkley, D.V. (1974). Theoretical Statistics. New York: Chapman & Hall/CRC.
   Google Scholar
• Davidson, R., MacKinnon, J. (1987). Implicit alternatives and the local power of test statistics. Econometrica 55:1305–1329.
   Web of Science ®Google Scholar
• Godfrey, L., Veall, M.R. (2000). Alternative approaches to testing by variable addition. Econom. Rev. 19:241–261.
   Google Scholar
• Montes-Rojas, G. (2010). Testing for random effects and serial correlation in spatial autoregressive models. J. Stat. Plann. Inference 140:1013–1020.
   Web of Science ®Google Scholar
• Montes-Rojas, G. (2011). Robust misspecification tests for the Heckman's two-step estimator. Econom. Rev. 30:1–19.
   Web of Science ®Google Scholar
• Newey, W. (1985). Maximum likelihood specification testing and conditional moment tests. Econometrica 53:1047–1070.
   Web of Science ®Google Scholar
• Newey, W., McFadden, D. (1994). Large sample estimation and hypothesis testing. In: Engle, R., McFadden, D., eds. Handbook of Econometrics, (Vol. 4, pp. 2111–2245), North Holland: Amsterdam.
   Google Scholar
• Newey, W., West, K. (1987). Hypothesis testing with efficient method of moments estimation. Int. Econ. Rev. 28:777–787.
   Web of Science ®Google Scholar
• Neyman, J. (1959). Optimal asymptotic tests of composite statistical hypotheses. In: Grenander, U., eds. Probability and Statistics, the Harald Cramer Volume. New York: Wiley.
   Google Scholar
• Rao, C.R. (1948). Large sample tests of statistical hypotheses concerning several parameters with applications to problems of estimation. Proc. Cambridge Philos. Soc. 44:50–57.
   Web of Science ®Google Scholar
• Rao, C.R., Poti, S.J. (1946). On locally most powerful tests when alternative are one sided. Sankhya Indian J. Stat. 7:439.
   Google Scholar
• Saikkonen, P. (1989). Asymptotic relative efficiency of the classical tests under misspecification. J. Econom. 42:351–369.
   Web of Science ®Google Scholar
• Smith, R. (1987). Alternative asymptotically optimal tests and their application to dynamic specification. Rev. Econ. Stud. 54:665–80.
   Web of Science ®Google Scholar
• Welsh, A. (1996). Aspects of Statistical Inference. New York: Wiley.
   Google Scholar
• Wooldridge, J.M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed). London: MIT Press.
   Google Scholar