Statistical expansions and locally uniform Fréchet differentiability [PDF]
, 1991 Estimators which have locally uniform expansions are shown in this paper to be asymptotically equivalent to M-estimators. The M-functionals corresponding to these M-estimators are seen to be locally uniformly Fréchet differentiable.
Bednarski, T. +2 more
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Robust Bounded Influence Tests for Independent Non-Homogeneous Observations
, 2017 Experiments often yield non-identically distributed data for statistical analysis. Tests of hypothesis under such set-ups are generally performed using the likelihood ratio test, which is non-robust with respect to outliers and model misspecification. In
Basu, Ayanendranath, Ghosh, Abhik
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Tests of Equal Forecast Accuracy and Encompassing for Nested Models [PDF]
We examine the asymptotic and finite-sample properties of tests for equal forecast accuracy and encompassing applied to 1-step ahead forecasts from nested parametric models.
Michael W. McCracken, Todd E. Clark
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Robust Bartlett adjustment for hypotheses testing on cointegrating vectors: A bootstrap approach [PDF]
, 2012 Johansen's (2000) Bartlett correction factor for the LR test of linear restrictions on cointegrated vectors is derived under the i.i.d. Gaussian assumption for the innovation terms.
Canepa, A
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Testing Composite Null Hypothesis Based on $S$-Divergences
, 2015 We present a robust test for composite null hypothesis based on the general $S$-divergence family. This requires a non-trivial extension of the results of Ghosh et al.~(2015).
Basu, Ayanendranath, Ghosh, Abhik
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Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach [PDF]
In this paper we present two new tests for the parametric form of the variance function in difusion processes dXt = b(t;Xt)+ó(t;Xt)dWt: Our approach is based on two stochastic processes of the integrated volatility.
Dette, Holger, Podolskij, Mark
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Rank-based optimal tests of the adequacy of an elliptic VARMA model
, 2004 We are deriving optimal rank-based tests for the adequacy of a vector autoregressive-moving average (VARMA) model with elliptically contoured innovation density.
Hallin, Marc, Paindaveine, Davy
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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models [PDF]
We propose novel misspecification tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010).
Dennis Kristensen
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Spanning Tests for Markowitz Stochastic Dominance
, 2018 We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some ...
Arvanitis, Stelios +2 more
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On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions [PDF]
Economic theories in dynamic contexts usually impose certain restrictions on the conditional mean of the underlying economic variables. Omnibus specification tests are the primary tools to test such restrictions when there is no information on the ...
Juan Carlos Escanciano
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