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Distribution-free specification tests for dynamic linear models

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dc.affiliation.dptoUC3M. Departamento de EconomĂ­aes
dc.contributor.authorDelgado, Miguel A.
dc.contributor.authorHidalgo, Javier
dc.contributor.authorVelasco, Carlos
dc.date.accessioned2010-09-03T10:39:51Z
dc.date.available2010-09-03T10:39:51Z
dc.date.issued2009
dc.description.abstractThis article proposes goodness-of-fit tests for dynamic regression models, where regressors are allowed to be only weakly exogenous and arbitrarily correlated with past shocks. The null hypothesis is stated in terms of the lack of serial correlation of the errors of the model. The tests are based on a linear transformation of a Bartlett's Tp-process of the residuals. This transformation approximates the martingale component of the process so that it converges weakly to the standard Brownian motion under the null hypothesis. One feature of our setup is that we do not require to specify the dynamic structure of the regressors. Due to this, the transformation employs a semi-parametric correction that does not restrict the class of local alternatives that our tests can detect, in contrast with other works using smoothing techniques. A Monte Carlo study illustrates the finite sample performance of the tests.es
dc.description.statusPublicadoes
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationEconometrics Journal, 2009, vol. 12, p. S105–S134es
dc.identifier.doi10.1111/j.1368-423X.2009.00280.x
dc.identifier.urihttps://hdl.handle.net/10016/9232
dc.language.isoenges
dc.publisherBlackwelles
dc.relation.publisherversionhttp://dx.doi.org/10.1111/j.1368-423X.2009.00280.x
dc.rights.accessRightsopen accesses
dc.subject.ecienciaEconomĂ­aes
dc.subject.otherDynamic modelses
dc.subject.otherEmpirical processeses
dc.subject.otherExogeneityes
dc.subject.otherGoodness-of-fites
dc.subject.otherLocal alternativeses
dc.subject.otherMartingale decompositiones
dc.titleDistribution-free specification tests for dynamic linear modelses
dc.typeresearch article*
dc.type.reviewPeerReviewedes
dspace.entity.typePublication
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