Robust Gmm Tests for Model Specification, with Applications to Conditional Moments Testing and Structural Instability Testing

@inproceedings{Ahn1999RobustGT,
  title={Robust Gmm Tests for Model Specification, with Applications to Conditional Moments Testing and Structural Instability Testing},
  author={Seung Chan Ahn},
  year={1999}
}
Tests for model specification based on the generalized method of moments have been widely used in the literature. Most of the popular tests typically require estimators which are efficient under the hypotheses that models chosen for estimation are correctly specified. This paper develops alternative tests which can be obtained using any consistent estimator. In particular, the test statistics are designed to have the same asymptotic power properties as statistics computed with efficient… CONTINUE READING

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