Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/158553
Autoren: 
Fiorentini, Gabriele
Sentana, Enrique
Datum: 
2016
Quellenangabe: 
[Journal:] SERIEs - Journal of the Spanish Economic Association [ISSN:] 1869-4195 [Volume:] 7 [Year:] 2016 [Issue:] 1 [Pages:] 121-178
Zusammenfassung: 
We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided extremum tests, which are asymptotically equivalent to likelihood ratio tests, and explain howto compute reliable Wald tests. We also explicitly relate the incidence of those problems to the model identification conditions and compare our tests with tests based on the reduced form prediction errors. Our Monte Carlo exercises assess the finite sample reliability and power of our proposed tests.
Schlagwörter: 
Extremum tests
Kalman filter
LM tests
Singular information matrix
Spectral maximum likelihood
Wiener-Kolmogorov filter
JEL: 
C22
C52
C12
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
http://creativecommons.org/licenses/by/4.0/
Dokumentart: 
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