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Distribution free specification tests for dynamic linear models

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDelgado, Miguel A.
dc.contributor.authorHidalgo, Javier
dc.contributor.authorVelasco, Carlos
dc.date.accessioned2009-02-24T10:54:14Z
dc.date.available2009-02-24T10:54:14Z
dc.date.issued2009
dc.description.abstractThis article proposes goodness-of- t 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 Barlett`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 semiparametric 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 fi nite sample performance of the tests.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationThe Econometrics Journal. 2009, nº Especial por X aniversario, p. 1-31
dc.identifier.issn1368-4221
dc.identifier.urihttps://hdl.handle.net/10016/3743
dc.language.isoeng
dc.publisherUniversity of Cambridge, Blackwell
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.titleDistribution free specification tests for dynamic linear models
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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