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In testing an hypothesis that a population has a specified distribution against the alternative that its distribution belongs to a separate family it is well known that the likelihood ratio test does not apply. We propose a test based on the difference between the sample moment generating function and its theoretical counterpart under Ho. The argument of the moment generating function is chosen to maximize the test's large-sample power. Small-sample properties of the test in two applications are studied by simulation.
Epps et al. (Fri,) studied this question.