M Tests with a New Normalization Matrix
This paper proposes a new family of M tests, building on the work of Kuan and Lee (2006) and Kiefer, Vogelsang and Bunzel (2000). The new test replaces the asymptotic covariance matrix in the conventional M test with an alternative normalization matrix, constructed using moment functions estimated from (K + 1) recursive subsamples. It is simple to implement, automatically accounts for the e¤ect of parameter estimation uncertainty, and allows for condi- tional heteroskedasticity and serial correlation of general forms. It converges to the central F distribution under the fixed-K asymptotics, and to the Chi-square distribution if K is allowed to approach in?nity. We illustrate its applicability using three simulation examples. They are: (1) specification testing for conditional heteroskedastic models, (2) nonnested testing with serially correlated errors, and (3) testing for serial correlation with unknown heteroskedasticity. The test exhibits good size properties and its power can be substantially higher than the test of Kuan and Lee (2006). Overall, the results suggest that, by integrating "self-normalization" and "fixed-bandwidth asymptotics" into the M-testing framework, we obtain an analytically simple yet widely applicable approach to misspeci?cation testing.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Jan 2010|
|Contact details of provider:|| Postal: 270 Bay State Road, Boston, MA 02215|
Web page: http://www.bu.edu/econ/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
- Xiaofeng Shao, 2010. "A self-normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 343-366.
- Hansen, Bruce E, 1994.
"Autoregressive Conditional Density Estimation,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
- Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
- Nicholas M. Kiefer & Timothy J. Vogelsang & Helle Bunzel, 2000. "Simple Robust Testing of Regression Hypotheses," Econometrica, Econometric Society, vol. 68(3), pages 695-714, May.
- Kiefer, Nicholas M. & Bunzel, Helle & Vogelsang, Timothy & Vogelsang, Timothy & Bunzel, Helle, 2000. "Simple Robust Testing of Regression Hypotheses," Staff General Research Papers Archive 1832, Iowa State University, Department of Economics.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1130-1164, December.
- Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests," Working Papers 05-08, Cornell University, Center for Analytic Economics.
- Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
- Lundbergh, Stefan & Terasvirta, Timo, 2002. "Evaluating GARCH models," Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October.
- Lundbergh, Stefan & Teräsvirta, Timo, 1998. "Evaluating GARCH models," SSE/EFI Working Paper Series in Economics and Finance 292, Stockholm School of Economics, revised 03 May 1999.
- Stefan Lundbergh & Timo Teräsvirta, 1999. "Evaluating GARCH Models," Tinbergen Institute Discussion Papers 99-008/4, Tinbergen Institute.
- Bernanke, Ben & Bohn, Henning & Reiss, Peter C., 1988. "Alternative non-nested specification tests of time-series investment models," Journal of Econometrics, Elsevier, vol. 37(3), pages 293-326, March.
- Ben S. Bernanke & Henning Bohn & Peter C. Reiss, 1985. "Alternative Nonnested Specification Tests of Time Series Investment Models," NBER Technical Working Papers 0049, National Bureau of Economic Research, Inc.
- Bunzel H. & Kiefer N. M. & Vogelsang T. J., 2001. "Simple Robust Testing of Hypotheses in Nonlinear Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1088-1096, September.
- Bunzel, Helle & Kiefer, Nicholas M. & Vogelsang, Timothy, 2001. "Simple Robust Testing of Hypothesis in Non-Linear Models," Staff General Research Papers Archive 5214, Iowa State University, Department of Economics.
- Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
- Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053, Diciembre.
- Berkes, Istv n & Horv th, Lajos & Kokoszka, Piotr, 2003. "Asymptotics For Garch Squared Residual Correlations," Econometric Theory, Cambridge University Press, vol. 19(04), pages 515-540, August.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
- Choi, Hwan-Sik & Kiefer, Nicholas M., 2008. "Robust Nonnested Testing and the Demand for Money," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 9-17, January.
- Pagan, Adrian & Vella, Frank, 1989. "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 29-59, Supplemen.
- Heung Wong & Shiqing Ling, 2005. "Mixed Portmanteau Tests for Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 569-579, 07. Full references (including those not matched with items on IDEAS)