{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,28]],"date-time":"2026-02-28T16:45:36Z","timestamp":1772297136215,"version":"3.50.1"},"reference-count":21,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2010,3,22]],"date-time":"2010-03-22T00:00:00Z","timestamp":1269216000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2010,12]]},"abstract":"<jats:p>A well known result is that many of the tests used in econometrics, such as the Rao score (RS) test, may not be robust to misspecified alternatives, that is, when the alternative model does not correspond to the underlying data generating process. Under this scenario, these tests spuriously reject the null hypothesis too often. We generalize this result to generalized method of moments\u2013based (GMM-based) tests. We also extend the method proposed in Bera and Yoon (1993,<jats:italic>Econometric Theory<\/jats:italic>9, 649\u2013658) for constructing RS tests that are robust to local misspecification to GMM-based tests. Finally, a further generalization for general estimating and testing functions is developed. This framework encompasses both likelihood and GMM-based results.<\/jats:p>","DOI":"10.1017\/s0266466609990818","type":"journal-article","created":{"date-parts":[[2010,3,22]],"date-time":"2010-03-22T13:37:33Z","timestamp":1269265053000},"page":"1838-1845","source":"Crossref","is-referenced-by-count":17,"title":["GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS"],"prefix":"10.1017","volume":"26","author":[{"given":"Anil K.","family":"Bera","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Gabriel","family":"Montes-Rojas","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Walter","family":"Sosa-Escudero","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2010,3,22]]},"reference":[{"key":"S0266466609990818_ref21","doi-asserted-by":"publisher","DOI":"10.2307\/1912526"},{"key":"S0266466609990818_ref20","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(89)90058-4"},{"key":"S0266466609990818_ref19","doi-asserted-by":"publisher","DOI":"10.1016\/S0166-0462(01)00106-5"},{"key":"S0266466609990818_ref17","doi-asserted-by":"publisher","DOI":"10.2307\/2526578"},{"key":"S0266466609990818_ref16","doi-asserted-by":"crossref","first-page":"2111","DOI":"10.1016\/S1573-4412(05)80005-4","volume-title":"Handbook of Econometrics","volume":"4","author":"Newey","year":"1994"},{"key":"S0266466609990818_ref15","doi-asserted-by":"publisher","DOI":"10.2307\/1911011"},{"key":"S0266466609990818_ref11","volume-title":"Generalized Method of Moments","author":"Hall","year":"2005"},{"key":"S0266466609990818_ref9","doi-asserted-by":"publisher","DOI":"10.1080\/07474930008800470"},{"key":"S0266466609990818_ref7","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600008021"},{"key":"S0266466609990818_ref3","doi-asserted-by":"publisher","DOI":"10.1177\/016001760102400202"},{"key":"S0266466609990818_ref1","doi-asserted-by":"publisher","DOI":"10.1016\/0166-0462(95)02111-6"},{"key":"S0266466609990818_ref13","doi-asserted-by":"crossref","first-page":"262","DOI":"10.1080\/07350015.1996.10524656","article-title":"Finite-sample properties of some alternative GMM estimators","volume":"14","author":"Hansen","year":"1996","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466609990818_ref5","unstructured":"Bera A. , Bilias Y. , & Yoon M. (2007) Adjustments of Rao\u2019s Score Test for Distributional and Local Parametric Misspecifications. Working paper, University of Illinois at Urbana-Champaign."},{"key":"S0266466609990818_ref12","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"S0266466609990818_ref4","doi-asserted-by":"publisher","DOI":"10.1081\/STA-100105683"},{"key":"S0266466609990818_ref18","first-page":"213","volume-title":"Probability and Statistics","author":"Neyman","year":"1959"},{"key":"S0266466609990818_ref14","first-page":"475","article-title":"The common structure of statistical models of truncation, sample selection and limited dependent variables and simple estimator for such models","volume":"5","author":"Heckman","year":"1976","journal-title":"Annals of Economic and Social Measurement"},{"key":"S0266466609990818_ref10","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-3758(00)00347-5"},{"key":"S0266466609990818_ref8","doi-asserted-by":"publisher","DOI":"10.2307\/1913558"},{"key":"S0266466609990818_ref2","doi-asserted-by":"publisher","DOI":"10.2307\/2297968"},{"key":"S0266466609990818_ref6","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00071-3"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466609990818","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,2,19]],"date-time":"2025-02-19T16:57:39Z","timestamp":1739984259000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466609990818\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,3,22]]},"references-count":21,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2010,12]]}},"alternative-id":["S0266466609990818"],"URL":"https:\/\/doi.org\/10.1017\/s0266466609990818","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,3,22]]}}}