Teaching size and power properties of hypothesis tests through simulations

DOI10.1515/JEM-2015-0014zbMath1400.62336OpenAlexW2561327808MaRDI QIDQ1669830

Osman Doğan, Süleyman Taşpınar

Publication date: 4 September 2018

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: https://academicworks.cuny.edu/qc_pubs/192

zbMATH Keywords

powersizehypothesis tests\(p\)-value discrepancy plots\(p\)-value plotssize-power curves

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

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• MFE toolbox

Cites Work

• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• References
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On a measure of lack of fit in time series models
• Rao's score test in spatial econometrics
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