کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096122 1376505 2013 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
چکیده انگلیسی

A simplified version of the Neyman (1937) “Smooth” goodness-of-fit test is extended to account for the presence of estimated model parameters, thereby removing overfitting bias. Using a Lagrange Multiplier approach rather than the Likelihood Ratio statistic proposed by Neyman greatly simplifies the calculations. Polynomials, splines, and the step function of Pearson's test are compared as alternative perturbations to the theoretical uniform distribution. The extended tests have negligible size distortion and more power than standard tests. The tests are applied to competing symmetric leptokurtic distributions with US stock return data. These are generally rejected, primarily because of the presence of skewness.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 172, Issue 2, February 2013, Pages 275-282
نویسندگان
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