Filtering as a Test of Specification

DOI10.2307/2526987MaRDI QIDQ3988472zbMATH OpenOpenAlexFDO

Authors Matthew J. Cushing, Mary G. McGarvey

Publication date 28 June 1992

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2526987

zbMATH Keywords

differencing testfiltering testsfinite one-sided polynomial filtersHausman-Wu testpowertest of specification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(4)

• Another explanation for the bias observed in the filter rule test
• scientific article; zbMATH DE number 5770649 (Why is no real title available?)
• A Simplified Version of the Differencing Test
• Using bivariate autoregressive representations in testing exact expectations relations

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