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A Robust Test for Non-Nested Hypotheses
Lin, Hsin-Yi - 2011
This paper uses a modified rank score test for non-nested linear regression models. The modified rank score test is robust with respect to models with non-normal distributions and can be viewed as a robust version of the J test of Davidson and MacKinnon (Econometrica 49:781-793, 1981)....
Persistent link: https://www.econbiz.de/10013126713
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Testing over : identifying restrictions without consistent estimation of the asymptotic covariance matrix
Lee, Wei-ming; Kuan, Chung-ming; Hsu, Yu-Chin - 2014
Persistent link: https://www.econbiz.de/10010246721
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Robust hypothesis tests for m-estimators with possibly non-differentiable estimating functions
Lee, Wei-ming; Hsu, Yu-Chin; Kuan, Chung-ming - 2014
Persistent link: https://www.econbiz.de/10010355209
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Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions
Lee, Wei-Ming; Hsu, Yu-Chin; Kuan, Chung-ming - In: The econometrics journal 18 (2015) 1, pp. 95-116
Persistent link: https://www.econbiz.de/10011345990