کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096121 | 1376505 | 2013 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Moment condition tests for heavy tailed time series
ترجمه فارسی عنوان
آزمایش شرایط لحظه ای برای سری زمانی سنگین سخت
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
We develop an asymptotically chi-squared statistic for testing moment conditions E[mt(θ0)]=0, where mt(θ0) may be weakly dependent, scalar components of mt(θ0) may have an infinite variance, and E[mt(θ)] need not exist for any θ under the alternative. Score tests are a natural application, and in general a variety of tests can be heavy-tail robustified by our method, including white noise, GARCH affects, omitted variables, distribution, functional form, causation, volatility spillover and over-identification. The test statistic is derived from a tail-trimmed sample version of the moments evaluated at a consistent plug-in θËT for θ0. Depending on the test in question and heaviness of tails, θËT may be any consistent estimator including sub-T1/2-convergent and/or asymptotically non-Gaussian ones, since θËT can be assured not to affect the test statistic asymptotically. We adapt bootstrap, p-value occupation time, and covariance determinant methods for selecting the trimming fractile in any sample, and apply our statistic to tests of white noise, omitted variables and volatility spillover. We find it obtains sharp empirical size and strong power, while conventional tests exhibit size distortions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 172, Issue 2, February 2013, Pages 255-274
Journal: Journal of Econometrics - Volume 172, Issue 2, February 2013, Pages 255-274
نویسندگان
Jonathan B. Hill, Mike Aguilar,