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A note on the Wald,LR and LM tests and misspecification |
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| Authors: | Kazuhiro Ohtani |
| Institution: | University of Florida, Gainesville, FL 32611, USA;Kobe University of Commerce, Kobe, Japan |
| Abstract: | In this note, we investigate sensitivity of the Wald, LR and LM tests to specification error. It is shown that these three tests are very sensitive to specification error, but the LM test is relatively superior to other two tests under certain situations. |
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