کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097269 | 1376579 | 2008 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Distribution-free specification tests of conditional models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
This article proposes a class of asymptotically distribution-free specification tests for parametric conditional distributions. These tests are based on a martingale transform of a proper sequential empirical process of conditionally transformed data. Standard continuous functionals of this martingale provide omnibus tests while linear combinations of the orthogonal components in its spectral representation form a basis for directional tests. Finally, Neyman-type smooth tests, a compromise between directional and omnibus tests, are discussed. As a special example we study in detail the construction of directional tests for the null hypothesis of conditional normality versus heteroskedastic contiguous alternatives. A small Monte Carlo study shows that our tests attain the nominal level already for small sample sizes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 143, Issue 1, March 2008, Pages 37-55
Journal: Journal of Econometrics - Volume 143, Issue 1, March 2008, Pages 37-55
نویسندگان
Miguel A. Delgado, Winfried Stute,