Thesis
Asymptotic analysis of the 1-step recursive Chow test (and variants) in time series model
- Abstract:
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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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Funding
Bibliographic Details
- Publication date:
- 2013
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- Oxford University, UK
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:0bb70f36-580d-44f0-bb13-98429f75e31f
- Local pid:
- ora:8700
- Deposit date:
- 2014-07-01
Terms of use
- Copyright holder:
- Andrew Whitby
- Copyright date:
- 2013
- Notes:
- This thesis is not currently available in ORA
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