Robust M-Tests

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Robust M-Tests

Author Info

Peracchi, Franco

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Franco Peracchi

Abstract

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Publisher Info
Paper provided by C.V. Starr Center for Applied Economics, New York University in its series Working Papers with number 90-25.

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Length: 22 pages
Date of creation: 1990
Date of revision:
Handle: RePEc:cvs:starer:90-25

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Web page: http://econ.as.nyu.edu/object/econ.cvstarr.html
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Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012
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Other versions of this item:

Article
- Peracchi, Franco, 1991. "Robust M-Tests," Econometric Theory, Cambridge University Press, vol. 7(01), pages 69-84, March. [Downloadable!]
Paper
- Franco Peracchi, 1987. "Robust M-Tests," UCLA Economics Working Papers 459, UCLA Department of Economics. [Downloadable!]

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.:

Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September. [Downloadable!] (restricted)
Franco Peracchi, 1990. "Robust m-estimators," Econometric Reviews, Taylor and Francis Journals, vol. 9(1), pages 1-30. [Downloadable!] (restricted)
Other versions:
- Franco Peracchi, 1988. "Robust M-Estimators," UCLA Economics Working Papers 477, UCLA Department of Economics. [Downloadable!]
Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-70, September. [Downloadable!] (restricted)
Vuong, Quang H., 1987. "Generalized inverses and asymptotic properties of Wald tests," Economics Letters, Elsevier, vol. 24(4), pages 343-347. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, 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.)

Dijk, Dick van & Franses, Philip Hans & Lucas, Andr•, 1996. "Testing for smooth transition nonlinearity in the presence of outliers," Econometric Institute Report 56, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Other versions:
- Dijk, D.J.C. van & Franses, Ph.H.B.F. & Lucas, A., 1996. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Econometric Institute Report EI 9622-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 217-35, April.
Dijk, Dick van & Franses, Philip Hans & Lucas, Andr•, 1996. "Testing for ARCH in the presence of additive outliers," Econometric Institute Report 59, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Other versions:
- Van Dijk, D. & Franses, P.H. & Lucas, A., 1996. "Testing for ARCH in the Presence of Additive Outliners," Papers 9659/a, Erasmus University of Rotterdam - Econometric Institute.
- Dijk, D.J.C. van & Franses, Ph.H.B.F. & Lucas, A., 1996. "Testing for ARCH in the Presence of Additive Outliers," Econometric Institute Report EI 9659-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for ARCH in the Presence of Additive Outliers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 539-62, Sept.-Oct. [Downloadable!]
Sunil Sapra, 2006. "Robust exogeneity tests in the presence of outliers," Economics Bulletin, Economics Bulletin, vol. 3(29), pages 1-6. [Downloadable!]

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This page was last updated on 2009-11-25.

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