Specification tests based on MCMC output
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2018.08.001
Abstract: Two test statistics are proposed to determine model specification after a model is estimated by an MCMC method. The first test is the MCMC version of IOSA test and its asymptotic null distribution is normal.… read more here.
Keywords: null model; mcmc output; model; test ... See more keywords