IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v22y2006i04p543-586_06.html
   My bibliography  Save this article

A Data-Driven Nonparametric Specification Test For Dynamic Regression Models

Author

Listed:
  • Guay, Alain
  • Guerre, Emmanuel

Abstract

The paper introduces a new nonparametric specification test for dynamic regression models. The test combines chi-square statistics based on Fourier series regression. A data-driven choice of the regression order, which uses the square root of the number of Fourier coefficients, is proposed. The benefits of the new test are (1) the selection procedure produces explicit and chi-square critical values that give a finite-sample size close to the nominal size; (2) the test is adaptive rate-optimal and detects local alternatives converging to the null with a rate that can be made arbitrarily close to the parametric rate. Simulation experiments illustrate the practical relevance of the new test.The first author acknowledges financial support from the Fonds Québécois de la Recherche sur la Société et la Culture (FQRSC). The second author acknowledges financial support from LSTA.

Suggested Citation

  • Guay, Alain & Guerre, Emmanuel, 2006. "A Data-Driven Nonparametric Specification Test For Dynamic Regression Models," Econometric Theory, Cambridge University Press, vol. 22(4), pages 543-586, August.
    • Handle: RePEc:cup:etheor:v:22:y:2006:i:04:p:543-586_06
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466606060282/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. George Kapetanios & Andrew P. Blake, 2007. "Testing the Martingale Difference Hypothesis Using Neural Network Approximations," Working Papers 601, Queen Mary University of London, School of Economics and Finance.
    2. Gourieroux, Christian & Jasiak, Joann, 2019. "Robust analysis of the martingale hypothesis," Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
    3. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
    4. George Kapetanios & Andrew P. Blake, 2007. "Boosting Estimation of RBF Neural Networks for Dependent Data," Working Papers 588, Queen Mary University of London, School of Economics and Finance.
    5. Escanciano, Juan Carlos & Mayoral, Silvia, 2010. "Data-driven smooth tests for the martingale difference hypothesis," Computational Statistics & Data Analysis, Elsevier, vol. 54(8), pages 1983-1998, August.
    6. Andrea Vaona, 2008. "The sensitivity of nonparametric misspecification tests to disturbance autocorrelation," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0803, USI Università della Svizzera italiana.
    7. Ivan Korolev, 2019. "A Consistent LM Type Specification Test for Semiparametric Panel Data Models," Papers 1909.05649, arXiv.org.
    8. Lee Jinu, 2019. "A Neural Network Method for Nonlinear Time Series Analysis," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-18, January.
    9. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:22:y:2006:i:04:p:543-586_06. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.