A note on the relation between local power and robustness to misspecification

Patrik Guggenberger

doi:10.1016/j.econlet.2012.01.020

A note on the relation between local power and robustness to misspecification

Patrik Guggenberger

Economics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

A simple example is provided that shows that one test can strictly dominate another test in both local power and its robustness to asymptotic size distortion under local model misspecification, with both tests having asymptotic size equal to nominal size under correct model specification. Robustness of the asymptotic size to model misspecification is therefore an alternative criterion to choosing among competing tests that can offer additional discriminatory insight over local power.

Original language	English (US)
Pages (from-to)	133-135
Number of pages	3
Journal	Economics Letters
Volume	116
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2012.01.020
State	Published - Aug 2012

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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abstract = "A simple example is provided that shows that one test can strictly dominate another test in both local power and its robustness to asymptotic size distortion under local model misspecification, with both tests having asymptotic size equal to nominal size under correct model specification. Robustness of the asymptotic size to model misspecification is therefore an alternative criterion to choosing among competing tests that can offer additional discriminatory insight over local power.",

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