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An Alternative Asymptotic Analysis of Residual-Based Statistics

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  • Elena Andreou
  • Bas J.M. Werker

Abstract

This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with respect to the model's parameters. and, thus, is especially useful in cases where such smoothness is difficult to establish. Instead, we use a locally uniform convergence in distribution condition, which is automatically satisfied by residual-based specification test statistics. To illustrate, we derive the limiting distribution of a new functional form specification test for discrete choice models, as well as a runs-based tests for conditional symmetry in dynamic volatility models.

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File URL: http://papers.econ.ucy.ac.cy/RePEc/papers/8-10.pdf
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Bibliographic Info

Paper provided by University of Cyprus Department of Economics in its series University of Cyprus Working Papers in Economics with number 08-2010.

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Length: 56 pages
Date of creation: Nov 2010
Date of revision:
Handle: RePEc:ucy:cypeua:08-2010

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Web page: http://www.econ.ucy.ac.cy

Related research

Keywords: Le Cam's third lemma; Local Asymptotic Normality (LAN);

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Citations

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Cited by:
  1. Alberto Abadie & Guido W. Imbens, 2009. "Matching on the Estimated Propensity Score," NBER Working Papers 15301, National Bureau of Economic Research, Inc.
  2. de Goeij, Peter & Marquering, Wessel, 2005. "The generalized asymmetric dynamic covariance model," Finance Research Letters, Elsevier, vol. 2(2), pages 67-74, June.

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