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Robust M-Tests

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  • Peracchi, Franco

Abstract

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 ‘admissibility’ result is also presented, which provides a justification for tests based on optimal bounded-influence estimators.

Suggested Citation

  • Peracchi, Franco, 1991. "Robust M-Tests," Econometric Theory, Cambridge University Press, vol. 7(1), pages 69-84, March.
    • Handle: RePEc:cup:etheor:v:7:y:1991:i:01:p:69-84_00
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    Cited by:

    1. Sunil Sapra, 2006. "Robust exogeneity tests in the presence of outliers," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-6.
    2. Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September.
    3. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    4. Sunil Sapra, 2007. "Robust nonnested hypothesis testing," Applied Economics Letters, Taylor & Francis Journals, vol. 15(1), pages 1-4.
    5. Tae-Hwan Kim & Christophe Muller, 2017. "A Robust Test of Exogeneity Based on Quantile Regressions," AMSE Working Papers 1716, Aix-Marseille School of Economics, France.
    6. 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 539-562, Sept.-Oct.
    7. repec:ebl:ecbull:v:3:y:2006:i:29:p:1-6 is not listed on IDEAS
    8. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
    9. 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 217-235, April.
    10. Luiz Lima & Jaime de Jesus Filho, 2008. "Further investigation of the uncertain trend in US GDP," Applied Economics, Taylor & Francis Journals, vol. 40(9), pages 1207-1216.

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