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.
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- Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-1070, September.
- K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.