The two-sample version of the celebrated Pearson goodness-of-fit problem has been a topic of extensive research, and several tests like the Kolmogorov-Smirnov and Cramér-von Mises have been suggested. Although these tests perform fairly well as omnibus tests for comparing two probability...

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...

A well known result is that many of the tests used in econometrics, such as the Rao score (RS) test, may not be robust to misspecified alternatives, that is, when the alternative model does not correspond to the underlying data generating process. Under this scenario, these tests spuriously...