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Nonparametric specification analysis of dynamic parametric models

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Author Info

  • Marc Henry

    () (Columbia University - Department of Economics)

  • Olivier Scaillet

    () (University of Geneva - HEC)

Abstract

Time series parametric models generally cater to a particular objective, such as forecasting, and it is therefore desirable to judge such models solely on the basis of their performance in the fullfillment of that objective. We propose a specification testing procedure which concentrates power on the parametric model's ability to estimate a set of characteristics of the finite dimensional distributions of the process. It is based on the comparison between a nonparametric estimate of the said characteristic and its parametric boot-strap analogue. Applications of this principle are proposed for the assessment of recursive dynamic models in the estimation of conditional means and conditional quantiles for mixing processes and for the estimation of dependence in long memory processes.

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Bibliographic Info

Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0102-20.

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Length: 21 pages
Date of creation: 2002
Date of revision:
Handle: RePEc:clu:wpaper:0102-20

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  1. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1997. "Dynamic equilibrium economies: a framework for comparing models and data," Finance and Economics Discussion Series 1997-23, Board of Governors of the Federal Reserve System (U.S.).
  2. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
  3. Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
  4. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  5. Domowitz, Ian & White, Halbert, 1982. "Misspecified models with dependent observations," Journal of Econometrics, Elsevier, vol. 20(1), pages 35-58, October.
  6. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
  7. Wooldridge, Jeffrey M., 1992. "A Test for Functional Form Against Nonparametric Alternatives," Econometric Theory, Cambridge University Press, vol. 8(04), pages 452-475, December.
  8. Gouriéroux, Christian & Monfort, Alain, 1994. "Testing, encompassing and simulating dynamic econometric models," CEPREMAP Working Papers (Couverture Orange) 9406, CEPREMAP.
  9. Gozalo, Pedro L., 1993. "A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models," Econometric Theory, Cambridge University Press, vol. 9(03), pages 451-477, June.
  10. Stinchcombe, Maxwell B. & White, Halbert, 1998. "Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative," Econometric Theory, Cambridge University Press, vol. 14(03), pages 295-325, June.
  11. Hidalgo, J., 1996. "Spectral Analysis for Bivariate Time Series with Long Memory," Econometric Theory, Cambridge University Press, vol. 12(05), pages 773-792, December.
  12. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-70, September.
  13. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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Cited by:
  1. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers 134, Banque de France.

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