Neglected serial correlation tests in UCARIMA models

Gabriele Fiorentini and Enrique Sentana

SERIEs: Journal of the Spanish Economic Association, 2016, vol. 7, issue 1, No 5, 178 pages

Abstract: Abstract 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 how to 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.

Keywords: Extremum tests; Kalman filter; LM tests; Singular information matrix; Spectral maximum likelihood; Wiener–Kolmogorov filter (search for similar items in EconPapers)
JEL-codes: C12 C22 C52 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1007/s13209-015-0132-3 Abstract (text/html)

Related works:
Working Paper: Neglected Serial Correlation Tests in UCARIMA Models (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:series:v:7:y:2016:i:1:d:10.1007_s13209-015-0132-3

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/13209

DOI: 10.1007/s13209-015-0132-3

Access Statistics for this article

SERIEs: Journal of the Spanish Economic Association is currently edited by Nezih Guner

More articles in SERIEs: Journal of the Spanish Economic Association from Springer, Spanish Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().