Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097269 | Journal of Econometrics | 2008 | 19 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Miguel A. Delgado, Winfried Stute,