Empirical phi-divergence test statistics for testing simple null hypotheses based on exponentially tilted empirical likelihood estimators Journal Articles uri icon

  •  
  • Overview
  •  
  • Research
  •  
  • Identity
  •  
  • View All
  •  

abstract

  • In Econometrics, imposing restrictions without assuming underlying distributions to modelize complex realities is a valuable methodological tool. However, if a subset of restrictions were not correctly specified, the usual test-statistics for correctly specified models tend to reject erronously a simple null hypothesis. In this setting, we may say that the model suffers from misspecification. We study the behavior of empirical phi-divergence test-statistics, introduced in Balakrishnan et al. (2015), by using the exponential tilted empirical likelihood estimators of Schennach (2007), as a good compromise between efficiency of the significance level for small sample sizes and robustness under misspecification.

publication date

  • March 3, 2015