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Keyword: specification test;
3 results found.
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Taisuke Otsu and Luke Taylor
This paper considers specification testing for regression models with errors-in-variables and proposes a test statistic comparing the distance between the parametric and nonparametric fits based on deconvolution techniqu...Read more...
15 August 2016
Javier Hidalgo and Myung Hwan Seo
We consider an omnibus test for the correct speci…cation of the dynamics of a sequence fx (t)gt2Zd in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the e...Read more...
15 May 2013
We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. ...Read more...