Alternative non-nested specification tests of time-series investment models
نویسندگان
چکیده
منابع مشابه
Specification Tests for Nonlinear Time Series Models
This paper proposes a new parametric model adequacy test for possibly nonlinear time series models such as generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive conditional duration (ACD). We consider the correct specification of parametric conditional distributions, not only some particular conditional characteristics. Using the true parametric conditional distri...
متن کاملNon-parametric Specification Testing of Non-nested Econometric Models.*
We consider the non-nested testing prqblem of non-parametric regressions. We show that, when the regression functions are unknown under both the null and the alternative hypotheses, an extension of the J-test procedure of Davidson and Mackinnon (1981) will lead to a test statistic with well defined asymptotic properties. The derivation of the test statistic involves double kernel estimation. Mo...
متن کاملA New Class of Distribution-free Tests for Time Series Models Specification∗
The construction of asymptotically distribution free time series models specification tests based on estimated residual autocorrelations is considered from a general view point. Test statistics are weighted sums of the estimated residual autocorrelations, and have an asymptotic standard normal distribution when the specification is correct, despite of the estimated parameters effect. The weight...
متن کاملSpecification Error Tests and Investment Functions
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at . http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive...
متن کاملNew Specification Tests in Nonlinear Time Series with Nonstationarity
This paper considers a class of nonparametric autoregressive processes and then a class of nonparametric time series regression models with a nonstationary regressor. For the autoregression case, we propose a nonparametric unit–root test for the conditional mean. For the nonparametric time series regression case, we construct a nonparametric test for testing whether the regression is of a known...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1988
ISSN: 0304-4076
DOI: 10.1016/0304-4076(88)90008-5