- 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...
Expand abstract - 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:
- Copyright holder:
- Andrew Whitby
- Copyright date:
- 2013
- Notes:
- This thesis is not currently available in ORA
Thesis
Asymptotic analysis of the 1-step recursive Chow test (and variants) in time series model
Actions
Funding
Bibliographic Details
Item Description
Terms of use
Metrics
Altmetrics
Dimensions
If you are the owner of this record, you can report an update to it here: Report update to this record