In this paper, we provide a general account to the asymptotic properties of a modified Rao's score (RS) statistic for testing a non-linear hypothesis under both distributional and parametric misspecification. The distributional misspecification arises if the parametric family of distribution...

It has been a conventional wisdom that the two-sample version of the goodness-of-fit test like the Kolmogorov-Smirnov, Cramér-von Mises and Anderson-Darling tests fail to have good power particularly against very specific alternatives. We show that a modified version of Neyman Smooth test that...

The idea of using estimating functions goes a long way back, at least to Karl Pearson's introduction to the method of moment in 1894. It is now a very active area of research in the statistics literature. One aim of this chapter is to provide an account of the developments relating to the theory...

It is well known that most of the standard specification tests are not valid when the alternative hypothesis is misspecified. This is particularly true in the error component model when one tests for either random effects or serial correlation without taking account of the presence of the other...

Spatial modeling is one of the growing areas of research in economics in recent years. However, these models are not tested enough. Even if tests are performed, they are done in a piece-wise fashion. Another age-long problem in economic modeling is endogeneity of one or more variables....

This paper derives unbalanced versions of the tests statistics for ¯rst order serial correlation and random individual e®ects summarized in Sosa Escudero and Bera (2001), and updates their xttest1 routine. The derived tests statistics should be useful for applied researchers faced with the...