Peracchi, Franco - In: Econometric Theory 7 (1991) 01, pp. 69-84
This paper investigates the local robustness properties of a general class of multidimensional tests based on <italic>M</italic>-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...