Alternative Asymptotically Optimal Tests and Their Application to Dynamic Specification

DOI10.2307/2297488zbMath0657.62127OpenAlexW2050884697MaRDI QIDQ3805715

Richard J. Smith

Publication date: 1987

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2297488

zbMATH Keywords

dynamic regression modelmoving average disturbancesasymptotically optimal statisticsfirst order asymptotic optimality propertiesgenerating test statisticstesting of common factor restrictions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

Related Items (7)

Invariance, Nonlinear Models, and Asymptotic Tests ⋮ Nonlinear models, rescaling and test invariance ⋮ Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results ⋮ Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence ⋮ GEL CRITERIA FOR MOMENT CONDITION MODELS ⋮ A new class of tests for overidentifying restrictions in moment condition models ⋮ Invariant tests based onM-estimators, estimating functions, and the generalized method of moments

This page was built for publication: Alternative Asymptotically Optimal Tests and Their Application to Dynamic Specification