Distribution-free specification tests for dynamic linear models

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dc.contributor.author Delgado, Miguel A.
dc.contributor.author Hidalgo, Javier
dc.contributor.author Velasco, Carlos
dc.date.accessioned 2010-09-03T10:39:51Z
dc.date.available 2010-09-03T10:39:51Z
dc.date.issued 2009
dc.identifier.bibliographicCitation Econometrics Journal, 2009, vol. 12, p. S105–S134
dc.identifier.uri http://hdl.handle.net/10016/9232
dc.description.abstract This 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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Blackwell
dc.subject.other Dynamic models
dc.subject.other Empirical processes
dc.subject.other Exogeneity
dc.subject.other Goodness-of-fit
dc.subject.other Local alternatives
dc.subject.other Martingale decomposition
dc.title Distribution-free specification tests for dynamic linear models
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1111/j.1368-423X.2009.00280.x
dc.subject.eciencia Economía
dc.identifier.doi 10.1111/j.1368-423X.2009.00280.x
dc.rights.accessRights openAccess
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