Search Results - subject:"m-testing"

A full heteroscedastic one-way error components model allowing for unbalanced panel : Pseudo-maximum likelihood estimation and specification testing

LEJEUNE, Bernard - Center for Operations Research and Econometrics (CORE), … - 2004

order two. Further, we review how, taking advantage of the powerful m-testing framework,the correct specification of the …

Persistent link: https://www.econbiz.de/10005042908

A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data

LEJEUNE, Bernard - Center for Operations Research and Econometrics (CORE), … - 2002

This paper proposes a convenient and generally applicable diognostic m-test for checking the distributional specification of parametric conditional heteroscedasticity models for financial data such as customary student t GARCH model. The proposed test is based on the moments of probability...

Persistent link: https://www.econbiz.de/10005043744

M-Testing Using Finite and Infinite Dimensional Parameter Estimators

White, Halbert; Hong, Yongmiao - Department of Economics, University of California-San … - 1999

The m-testing approach provides a general and convenient framework in which to view and construct specification tests … for econometric models. Previous m-testing frameworks only consider test statistics that involve finite dimensional … this paper we propose a new m-testing framework using both finite and infinite dimensional parameter estimators, where the …

Persistent link: https://www.econbiz.de/10010536457