Sequential specification tests to choose a model: A change-point approach

Adam C Sales

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 12, 4354-4368

Abstract: A researcher choosing between models ordered by some criterion may seek the best specification that satisfies a testable assumption. In this scenario, sequential specification tests (SSTs) are hypothesis tests of that assumption for each model in the sequence. We introduce a method using the p-values from SSTs to estimate the point in the sequence where the assumption ceases to hold. Unlike alternative approaches, this method is robust to individual errant p-values and does not require choosing a test level or tuning parameter. We demonstrate the method’s properties with a simulation study, and illustrate it by choosing a bandwidth in a regression discontinuity design and a lag order for a time series model.

Date: 2024
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DOI: 10.1080/03610926.2023.2179879

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