Distribution-free specification tests of conditional models

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dc.contributor.author Delgado, Miguel A.
dc.contributor.author Stute, Winfried
dc.date.accessioned 2009-07-27T11:22:28Z
dc.date.available 2009-07-27T11:22:28Z
dc.date.issued 2008
dc.identifier.bibliographicCitation Journal of Econometrics, March 2008, vol. 143, nº 1, p. 37-55
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10016/2495
dc.description.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.
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Conditional models
dc.subject.other Martingale transformation
dc.subject.other Sequential empirical process
dc.subject.other Specification tests
dc.title Distribution-free specification tests of conditional models
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.jeconom.2007.08.006
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/j.jeconom.2007.08.006
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
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