El comportamiento en muestras finitas de los contrastes M y de la matriz de información dinámica: simulaciones
| dc.contributor.author | Pérez Amaral, Teodosio | |
| dc.date.accessioned | 2023-06-21T01:32:24Z | |
| dc.date.available | 2023-06-21T01:32:24Z | |
| dc.date.issued | 1989 | |
| dc.description | Clasificación AMS: 62 P20. | |
| dc.description.abstract | Recientemente ha habido un desarrollo teórico sustancial de contrastes de especificación que usan estimadores de la forma del producto, exterior de la matriz de información. Entre ellos están los contrastes m y de la matriz de información dinámica. Estos contrastes tienen un rango de aplicabilidad muy extenso y son computacionalmente muy simples. Sin embargo la impresión general en la profesión es que tienen un mal comportamiento en muestras finitas. La evidencia para muestras finitas que se aporta en este trabajo es muy satisfactoria y abre un amplio campo para la investigación teórica y la aplicabilidad de los contrastes. | |
| dc.description.department | Decanato | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/25268 | |
| dc.identifier.relatedurl | http://economicasyempresariales.ucm.es/working-papers-ccee | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/63929 | |
| dc.issue.number | 08 | |
| dc.language.iso | spa | |
| dc.page.total | 58 | |
| dc.publication.place | Madrid | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Decanato | |
| dc.relation.ispartofseries | Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales. | |
| dc.rights.accessRights | open access | |
| dc.subject.keyword | Contrastes m | |
| dc.subject.keyword | Contrastes de los multiplicadores de Lagrange | |
| dc.subject.keyword | Simulaciones. | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | El comportamiento en muestras finitas de los contrastes M y de la matriz de información dinámica: simulaciones | |
| dc.type | technical report | |
| dc.volume.number | 1989 | |
| dcterms.references | Bera, Anil K. (1966) "Model Specification Test Through Eigenvalues", Working Paper, Department of Economics, University of Illinois. Bollerslev, Tim (1986) "Generalized Autorregressive Conditional Heteroskedasticity", Journal of Econometrics, 31, pp. 307-327. Cavanagh, C.L. (1985) "Second Order Admissibility of Likelihood Based Tests", Harvard Institute of Economic Research, Discussion Paper 1148. Davidson, R. Y James G. Mackinnon (1985) "Heteroskedasticity-Robust Tests in Regression Directions", manuscrito, Queen's University, Department of Economics. Dorfman, A. (1988) "A finite Sample Comparison of White's Direct and Simple Tests for Heteroskedasticity", Journal of Statistical Computations and Simulation, Vol. 29, pp. 299-308. Engle, Robert F. (1982) "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 5O, pp. 987-1007. Hall, A. (1985) "Heteroskedasticity Robust Lagrange Multiplier Tests for Serial Correlation and a Simplified Method of their Calculation", manuscrito. Kiviet, Jan F. (1981) "On the rigour of sorne Misspecification Tests for Modelling Dynamic Relationships", manuscrito, University of Amsterdam. Newey, W. (1985) "Maximun Likelihood Specification Testing and Conditional Moment Tests", Econometrica 53, 1047-1070. Orme, Chris (1987) "The small sample performance of the Information Matrix Test", Working Paper, Department of Economics, University of Nottingham. Pérez Amaral, T. (1986) "M-tests and Dynamic Information Matrix Tests with and Application to Linear Regression" UCSD, mimeo. Ruud, P.A. (1984) "Tests of Specification in Econometrics", Econometric Reviews 3, pp. 211-242. Tauchen, G. (1984) "Diagnostic Testing and Evaluation of Maximum Likelihood Models", Duke University Working Papers in Economics, 84-01. Taylor, Larry, W. (1987) "An application of modified ERA'S to White's Information Matrix Test", working paper, Leigh University. White, H. (1985) "Specification Testing in Dynamic Models", UCSD Discussion Paper 85-30R. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 14ac85fa-418f-40ee-b712-4075cd494574 | |
| relation.isAuthorOfPublication.latestForDiscovery | 14ac85fa-418f-40ee-b712-4075cd494574 |
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