Detail Filtering as A Test of Specification   Oleh:  Cushing, Matthew J. ; McGarvey, Mary G. Jenis: Article from Bulletin/Magazine Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 33 no. 1 (1992), page 129-136. Topik: FILTERING; filtering; test of specification Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel This paper generalizes the first differencing test proposed by Plosser, Schwert and White to the case of finite one - sided polynomial filters. We demonstrate that the filtering test is asymptotically equivalent to a Hausman - Wu test. This provides a computationally simple way of performing the test and analyzing the test's power. We show that the choice of lag weights is non trivial for filters of order greater than one. By examining the optimal choice of filter, the paper shows under what circumstances filtering tests will be powerful. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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