An Alternative Asymptotic Analysis of Residual-Based Statistics
Datos Bibliográficos
| ID | 19319242 |
|---|---|
| Autores | Elena Andreou (University of Cyprus), Bas J M Werker (0000-0001-9007-0755, Tilburg University) |
| Año | 2012 |
| Volumen | 94 |
| Número | 1 |
| Páginas | 88-99 |
| Fecha de publicación | 2012-02-01 |
| Peer Reviewed | Sí |
| Open Access | No |
| Tipo | ARTICLE |
| Revista | The Review of Economics and Statistics (JOURNAL) |
| Identificadores de la revista | ISSN: 0034-6535 • E-ISSN: 1530-9142 |
| Editorial | MIT Press - Journals (PUBLISHER) |
| DOI | 10.1162/rest_a_00151 |
| OpenAlex | W2150442976 |
| Idioma | EN |
| Referencias citadas | 31 |
This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with respect to the model's parameters and thus is especially useful in cases where such smoothness is difficult to establish. Instead, we use a locally uniform convergence in distribution condition, which is automatically satisfied by residual-based specification test statistics. To illustrate, we derive the limiting distribution of a new functional form specification test for discrete choice models, as well as a runs-based tests for conditional symmetry in dynamic volatility models
Algorithm · Asymptotic distribution · Econometrics · Estimator · Limiting · Mathematical analysis · Residual · Smoothness · Statistic · Statistical hypothesis testing · Statistics · Sufficient statistic · Test statistic · Applied Mathematics · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Statistical Methods and Inference
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| Velocidad de citación | historical |
|---|---|
| Altamente citado | No |