Journal of econometrics, 1999-09, Vol.92 (1), p.101-147
1999
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Details
- Autor(en) / Beteiligte
- Titel
- Consistent model specification tests for time series econometric models
- Ist Teil von
- Journal of econometrics, 1999-09, Vol.92 (1), p.101-147
- Ort / Verlag
- Amsterdam: Elsevier B.V
- Erscheinungsjahr
- 1999
- Quelle
- Elsevier ScienceDirect Journals
- Beschreibungen/Notizen
- In this paper we consider general hypothesis testing problems for nonparametric and semiparametric time-series econometric models. We apply the general methodology to construct a consistent test for omitted variables and a consistent test for a partially linear model. The proposed tests are shown to have asymptotic normal distributions under their respective null hypotheses. We also discuss the problems of testing portfolio conditional mean-variance efficiency and testing a semiparametric single index model. Monte Carlo simulations are conducted to examine the finite sample performances of the nonparametric omitted variable test and the test for a partially linear specification.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0304-4076eISSN: 1872-6895DOI: 10.1016/S0304-4076(98)00087-6Titel-ID: cdi_proquest_miscellaneous_38758349
- Format
- –
- Schlagworte
- Absolutely regular process, Applications, Asymptotic normality, Consistent tests, Degenerate U-statistics, Distribution theory, Econometric models, Econometrics, Economic models, Exact sciences and technology, Hypotheses, Hypothesis testing, Inference from stochastic processes, time series analysis, Insurance, economics, finance, Kernel estimation, Mathematical economics, Mathematics, Modelling, Monte Carlo simulation, Omitted variables, Partially linear model, Probability and statistics, Sciences and techniques of general use, Statistics, Studies, Time series