An Alternative Asymptotic Analysis of Residual-Based Statistics

Elena Andreou and Bas J.M. Werker

University of Cyprus Working Papers in Economics from University of Cyprus Department of Economics

Abstract: This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with respect to the model's parameters. and, thus, is especially useful in cases where such smoothness is difficult to establish. Instead, we use a locally uniform convergence in distribution condition, which is automatically satisfied by residual-based specification test statistics. To illustrate, we derive the limiting distribution of a new functional form specification test for discrete choice models, as well as a runs-based tests for conditional symmetry in dynamic volatility models.

Keywords: Le Cam's third lemma; Local Asymptotic Normality (LAN) (search for similar items in EconPapers)
Pages: 56 pages
Date: 2010-11
New Economics Papers: this item is included in nep-ecm
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://papers.econ.ucy.ac.cy/RePEc/papers/8-10.pdf (application/pdf)

Related works:
Journal Article: An Alternative Asymptotic Analysis of Residual-Based Statistics (2012)
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:ucy:cypeua:08-2010

Access Statistics for this paper

More papers in University of Cyprus Working Papers in Economics from University of Cyprus Department of Economics
Bibliographic data for series maintained by ().