Asymptotic theory of integrated conditional moment tests
Article Abstract:
An analysis of the test statistic of an integrated conditional moment test reveals that the resulting asymptotic distribution has nontrivial local power and that the test is more powerful than the parametric test for a class of large local alternatives. The study also reveals that there is no test more powerful than the one presented in a case where normal errors in the test are assumed asymptotically admissible.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1997
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Sharing beliefs: between agreeing and disagreeing
Article Abstract:
A person will bet upon an outcome if they are sure of the information they have received.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 2000
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Robust Wald tests in SUR systems with adding-up restrictions
Article Abstract:
The invariance of the robust Wald statistic is established.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 2000
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