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动态条件分布模型的自助法设定检验AI 解读

This paper proposes bootstrap based tests for the specification of a given parametric conditional distribution in autoregressive time series with GARCH-type disturbances. The tests are based on an estimated residual empirical process and are implemented by parametric bootstrap. We show that the proposed tests are asymptotically valid, consistent, and have nontrivial asymptotic power against a large proportion of local alternatives. Our approach relies on non-primitive…

跳跃存在性与跳跃强度路径依赖的检验AI 解读

In this paper, we develop a “jump test” for the null hypothesis that the probability of a jump is zero, building on earlier work by Aït-Sahalia (2002). The test is based on realized third moments, and uses observations over an increasing time span. The test offers an alternative to standard finite time span tests, and is designed to detect jumps in the data generating process rather than detecting realized jumps over a fixed time span. More specifically, we make two…

乘法误差模型的设定检验AI 解读

The family of multiplicative error models is important for studying non-negative variables such as realized volatility, trading volume, and duration between consecutive financial transactions. Methods are developed for testing the parametric specification of a multiplicative error model, which consists of separate parametric models for the conditional mean and the error distribution. The same method can also be used for testing the specification of the error distribution…

针对单侧备择的得分类检验AI 解读

A score-type statistic, T s , is introduced for testing H: ψ = 0 against K: ψ ≥ 0 and more general one-sided hypotheses when nuisance parameters may be present; ψ is a vector parameter. The main advantages of T s , are that it requires estimation of the model only under the null hypothesis and that, it is asymptotically equivalent to the likelihood ratio statistic; these are precisely the reasons for the popularity of the score tests for testing against two-sided…

针对单侧备择假设的得分检验AI 解读

A score-type statistic, T s , is introduced for testing H: ψ = 0 against K: ψ ≥ 0 and more general one-sided hypotheses when nuisance parameters may be present; ψ is a vector parameter. The main advantages of T s , are that it requires estimation of the model only under the null hypothesis and that, it is asymptotically equivalent to the likelihood ratio statistic; these are precisely the reasons for the popularity of the score tests for testing against two-sided…