A note on the relation between local power and robustness to misspecification

被引：1
|
作者：
Guggenberger, Patrik [1 ]
机构：
[1] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA
来源：
ECONOMICS LETTERS | 2012年 / 116卷 / 02期
基金：
美国国家科学基金会;
关键词：
Asymptotic size; Hypothesis testing; Local power; Model misspecification; Robustness; PARAMETERS;
D O I：
10.1016/j.econlet.2012.01.020
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A simple example is provided that shows that one test can strictly dominate another test in both local power and its robustness to asymptotic size distortion under local model misspecification, with both tests having asymptotic size equal to nominal size under correct model specification. Robustness of the asymptotic size to model misspecification is therefore an alternative criterion to choosing among competing tests that can offer additional discriminatory insight over local power. (c) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：133 / 135
页数：3
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