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Maximum likelihood specification testing and conditional moment tests. (English) Zbl 0629.62107
This paper examines the detection of misspecification in the context of maximum likelihood models. The power properties of specification tests based on moment conditions are explicitly considered. Tests of conditional moment restrictions are also discussed and are shown to be particularly useful when exogenous variables are present. The form of optimal conditional moment tests is presented. The general results are then applied to specification tests for probit.

MSC:
62P20 Applications of statistics to economics
62H15 Hypothesis testing in multivariate analysis
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