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Thesis

Asymptotic analysis of the 1-step recursive Chow test (and variants) in time series model

Abstract:

This thesis concerns the asymptotic behaviour of the sequence of 1-step recursive Chow statistics and various tests derived therefrom. The 1-step statistics are produced as diagnostic output in standard econometrics software, and are expected to reflect model misspecification. Such misspecification testing is important in validating the assumptions of a model and so ensuring that subsequent inference is correct. Original contributions to the theory of misspecification testing include (i) a...

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Institution:
University of Oxford
Oxford college:
Balliol College
Department:
Social Sciences Division - Economics
Role:
Author

Contributors

Role:
Supervisor
Publication date:
2013
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
URN:
uuid:0bb70f36-580d-44f0-bb13-98429f75e31f
Local pid:
ora:8700
Language:
English
Keywords:
Subjects:

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