کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096477 1376530 2011 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Generalized spectral testing for multivariate continuous-time models
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Generalized spectral testing for multivariate continuous-time models
چکیده انگلیسی
We develop an omnibus specification test for multivariate continuous-time models using the conditional characteristic function, which often has a convenient closed-form or can be accurately approximated for many multivariate continuous-time models in finance and economics. The proposed test fully exploits the information in the joint conditional distribution of underlying economic processes and hence is expected to have good power in a multivariate context. A class of easy-to-interpret diagnostic procedures is supplemented to gauge possible sources of model misspecification. Our tests are also applicable to discrete-time distribution models. Simulation studies show that the tests provide reliable inference in finite samples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 164, Issue 2, 1 October 2011, Pages 268-293
نویسندگان
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