Alternative Asymptotically Optimal Tests and Their Application to Dynamic Specification

DOI10.2307/2297488MaRDI QIDQ3805715zbMATH OpenOpenAlexFDO

Authors Richard J. Smith

Publication date 1987

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

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

zbMATH Keywords

asymptotically optimal statisticsdynamic regression modelfirst order asymptotic optimality propertiesgenerating test statisticsmoving average disturbancestesting of common factor restrictions

Mathematics Subject Classification ID

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

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Cited in

(14)

• Nonlinear models, rescaling and test invariance
• On the performance of the DHF tests against nonstationary alternatives
• GEL criteria for moment condition models
• Constructing Optimal tests on a Lagged dependent variable
• Invariance, Nonlinear Models, and Asymptotic Tests
• scientific article; zbMATH DE number 125641 (Why is no real title available?)
• Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
• Generalized C() tests for estimating functions with serial dependence
• Asymptotically optimal tests when parameters are estimated
• 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
• Rao's score, Neyman's C() and Silvey's LM tests: an essay on historical developments and some new results
• Generalized C() tests with nonstandard convergence rates
• Specification tests of parametric dynamic conditional quantiles

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