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

Andrew Michael Whitby

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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APA Style

Whitby, A. M. (2013). Asymptotic analysis of the 1-step recursive Chow test (and variants) in time series model [PhD thesis]. Oxford University, UK.

MLA Style

Whitby, Andrew Michael. Asymptotic Analysis of the 1-Step Recursive Chow Test (and Variants) in Time Series Model. Oxford University, UK, 2013.

Chicago Style

Whitby, Andrew Michael. 2013. “Asymptotic Analysis of the 1-Step Recursive Chow Test (and Variants) in Time Series Model.” PhD thesis, Oxford University, UK.
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Authors

+ Andrew Michael Whitby More by this author

Institution:

University of Oxford

Oxford college:

Balliol College

Department:

Social Sciences Division - Economics

Role:

Author

Contributors

+ Bent Nielsen

Role:

Supervisor

Funding

+ University of Oxford. Department of Economics; Oxford Australia Scholarship Fund and James Fairfax; George Webb Medley Fund; Balliol College (University of Oxford). More from this funder

Funding agency for:

Andrew Michael Whitby

Bibliographic Details

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

Item Description

Language:: English
Keywords:: autoregressions

specification testing

econometrics
Subjects:: Econometrics

Terms of use

Copyright holder:: Andrew Whitby
Notes:: This thesis is not currently available in ORA

License:: Terms and Conditions of Use for Oxford University Research Archive

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