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Asymptotic relative efficiency of the classical test statistics under misspecification

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  • Saikkonen, Pentti

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File URL: http://www.sciencedirect.com/science/article/B6VC0-45828Y9-6D/2/381f01bcd52114adf5a4a4de43e49403
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 42 (1989)
Issue (Month): 3 (November)
Pages: 351-369

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Handle: RePEc:eee:econom:v:42:y:1989:i:3:p:351-369

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
  2. Bera, Anil K. & Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2009. "Testing under local misspecification and artificial regressions," Economics Letters, Elsevier, vol. 104(2), pages 66-68, August.
  3. Godfrey, Leslie G., 1996. "Some results on the Glejser and Koenker tests for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 275-299.
  4. Bera, Anil K. & Sosa-Escudero, Walter & Yoon, Mann, 2001. "Tests for the error component model in the presence of local misspecification," Journal of Econometrics, Elsevier, vol. 101(1), pages 1-23, March.
  5. Gabriel Montes-Rojas & Walter Sosa-Escudero, 2010. "Robust tests for heteroskedasticity in the one-way error components model," Post-Print peer-00768191, HAL.
  6. Anselin, Luc & Bera, Anil K. & Florax, Raymond & Yoon, Mann J., 1996. "Simple diagnostic tests for spatial dependence," Regional Science and Urban Economics, Elsevier, vol. 26(1), pages 77-104, February.
  7. Lanne, Markku & Saikkonen, Pentti, 2006. "Why is it so difficult to uncover the risk-return tradeoff in stock returns?," Economics Letters, Elsevier, vol. 92(1), pages 118-125, July.

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