Increasing the power of specification tests
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DOI: 10.1016/j.jeconom.2018.12.012
Abstract: This paper shows how to increase the power of Hausman?s (1978) specification test as well as the difference test in a large class of models. The idea is to impose the restrictions of the null… read more here.
Keywords: specification tests; increasing power; test; specification ... See more keywords
Specification tests for time-varying parameter models with stochastic volatility
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DOI: 10.1080/07474938.2016.1167948
Abstract: ABSTRACT We propose an easy technique to test for time-variation in coefficients and volatilities. Specifically, by using a noncentered parameterization for state space models, we develop a method to directly calculate the relevant Bayes factor… read more here.
Keywords: volatility; time varying; tests time; time ... See more keywords