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  • Search: subject:"Robust Conditional Moment Tests"
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Subject
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Fehlerkorrekturmodell 1 Finite Sample Properties 1 Momentenmethode 1 Multiplicative Error Models 1 Prediction Errors 1 Prognoseverfahren 1 Robust Conditional Moment Tests 1 Robust conditional moment tests 1 Robustes Verfahren 1 Statistischer Test 1 Theorie 1 finite sample properties 1 multiplicative error models 1 prediction errors 1
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Free 2
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Book / Working Paper 2
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Working Paper 1
Language
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English 2
Author
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Hautsch, Nikolaus 2
Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
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SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1
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EconStor 1 RePEc 1
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Testing multiplicative error models using conditional moment tests
Hautsch, Nikolaus - 2008
We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....
Persistent link: https://www.econbiz.de/10010263752
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Cover Image
Testing Multiplicative Error Models Using Conditional Moment Tests
Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
-of-sample moment restrictions, such as orthogonalities of prediction errors. Keywords: Robust Conditional Moment Tests, Finite Sample …
Persistent link: https://www.econbiz.de/10005652786
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