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003			ZW-GwMSU
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008			240322b |||||||| |||| 00| 0 eng d
022			_a02664666
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100			_aEscanciano, J. Carlos _eauthor
245			_aOn the lack of power of omnibus specification tests _ccreated by J. Carlos Escanciano
264			_aCambridge: _bCambridge University Press, _c2009.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric theory _vVolume 25, number 1
520	3		_aDesigned to have power against all alternatives, omnibus consistent tests are the primary econometric tools for testing the correct specification of parametric conditional means when there is no information about the possible alternative. The main purpose of this paper is to show that, contrary to what is generally believed, omnibus specification tests only have substantial local power against alternatives in a finite-dimensional space (usually unknown to the researcher). We call such a space the principal space. We characterize and estimate the principal space for Cramér–von Mises tests. These results are some of the by-products of a detailed theoretical power analysis carried out in the paper. This investigation focuses on the class of the so-called integrated consistent tests under possibly heteroskedastic time series. A Monte Carlo experiment examines the finite-sample properties of tests and estimators of preferred alternatives. Finally, an application of our theory to test the martingale difference hypothesis of some exchange rates provides new information on the rejection of omnibus tests and illustrates our findings.
650			_aScientific modelling _xStatistical test
856			_uhttps://doi.org/10.1017/S0266466608090051
942			_2lcc _cJA
999			_c164497 _d164497