Specification Testing with Locally Misspecified Alternatives
备择局部误设下的模型设定检验
It is well known that most of the standard specification tests are not robust when the alternative is misspecified. Using the asymptotic distributions of standard Lagrange multiplier (LM) test under local misspecification, we suggest a robust specification test. This test essentially adjusts the mean and covariance matrix of the usual LM statistic. We show that for local misspecification the adjusted test is asymptotically equivalent to Neyman's C (α) test, and therefore,…