Autocontours: Dynamic Specification Testing
Gloria Gonzalez-Rivera,
Zeynep Senyuz and
Emre Yoldas
Journal of Business & Economic Statistics, 2011, vol. 29, issue 1, 186-200
Abstract:
We propose a new battery of dynamic specification tests for the joint hypothesis of iid-ness and density function based on the fundamental properties of independent random variables with identical distributions. We introduce a device-the autocontour-whose shape is very sensitive to departures from the null in either direction, thus providing superior power. The tests are parametric with asymptotic t and chi-squared limiting distributions and standard convergence rates. They do not require a transformation of the original data or a Kolmogorov style assessment of goodness-of-fit, explicitly account for parameter uncertainty, and have superior finite sample properties. An application to autoregressive conditional duration (ACD) models for trade durations shows that the difficulty with the assumed densities lies on the probability assigned to very small durations. Supplemental materials for this article are available online.
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (16)
Downloads: (external link)
http://hdl.handle.net/10.1198/jbes.2010.08144 (text/html)
Access to full text is restricted to subscribers.
Related works:
Journal Article: Autocontours: Dynamic Specification Testing (2011) 
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:taf:jnlbes:v:29:y:2011:i:1:p:186-200
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/UBES20
DOI: 10.1198/jbes.2010.08144
Access Statistics for this article
Journal of Business & Economic Statistics is currently edited by Eric Sampson, Rong Chen and Shakeeb Khan
More articles in Journal of Business & Economic Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().