This paper investigates the local robustness properties of a general class of multidimensional tests based on M-estimators. These tests are shown to inherit the efficiency and robustness properties of the estimators on which they are based. In particular, it is shown that small perturbations of the distribution of the observations can have arbitrarily large effects on the asymptotic level and power of tests based on estimators that do not possess a bounded influence function. An asymptotic result is also presented, which provides a justification for tests based on optimal bounded-influence estimators.
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Article provided by Cambridge University Press in its journal Econometric Theory.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Franco Peracchi, 1990.
"Robust m-estimators,"
Econometric Reviews,
Taylor and Francis Journals, vol. 9(1), pages 1-30.
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