Higher Order Results on an Adjusted Version of the Likelihood Ratio Statistic under Model Misspeciication

Abstract

Higher order results under model misspeciication are obtained for the likelihood ratio statistic and the adjusted likelihood ratio statistic. The density functions of the two statistics to O(n ?3=2) under the null hypothesis, are derived for the scalar case. In addition, an improved version of the adjusted likelihood ratio statistic is also provided.

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