An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification

DOI10.2307/2297102zbMath0426.62082OpenAlexW4375906794MaRDI QIDQ3862307

Grayham E. Mizon, David F. Hendry

Publication date: 1980

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

Full work available at URL: https://doi.org/10.2307/2297102

zbMATH Keywords

asymptotic distributionsfinite sample propertiesasymptotic powerscommon factor testsdistributed lag analysisdynamic specification testslogistic response surfacesstationary linear dynamic equations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

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Residual autocorrelation testing for vector error correction models ⋮ Empirical modeling in dynamic econometrics ⋮ Testing strategies for model specification ⋮ Encompassing in stationary linear dynamic models ⋮ Monte Carlo response surfaces: A comparative approach ⋮ LAUDATIO ON THE OCCASION OF THE INVESTITURE OF PROFESSOR JOHN DENIS SARGAN WITH THE DEGREE OF DOCTOR HONORIS CAUSA OF THE UNIVERSIDAD CARLOS III, 2 February 1993 ⋮ The Lagrange multiplier test for autocorrelation in the presence of linear restrictions ⋮ Bootstrap-based critical values for tests of common factor restrictions ⋮ A reply to Professors Maasoumi and Phillips ⋮ Computing Wald criteria for nested hypotheses ⋮ A comparison of nonnested tests for misspecified models using the method of approximate slopes ⋮ Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances

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