CONSISTENT SPECIFICATION TESTING FOR CONDITIONAL SYMMETRY

1998 ◽  
Vol 14 (1) ◽  
pp. 139-149 ◽  
Author(s):  
John Xu Zheng

This paper presents a consistent specification test of conditional symmetry using a kernel method. The test statistic is shown to be asymptotically distributed as standard normal under the null hypothesis of conditional symmetry and consistent against any conditional asymmetric distribution. Power against local alternatives is also investigated. A Monte Carlo simulation is provided to evaluate the finite-sample performance of the test.

2000 ◽  
Vol 16 (4) ◽  
pp. 576-601 ◽  
Author(s):  
Pascal Lavergne ◽  
Quang Vuong

A procedure for testing the significance of a subset of explanatory variables in a nonparametric regression is proposed. Our test statistic uses the kernel method. Under the null hypothesis of no effect of the variables under test, we show that our test statistic has an nhp2/2 standard normal limiting distribution, where p2 is the dimension of the complete set of regressors. Our test is one-sided, consistent against all alternatives and detects local alternatives approaching the null at rate slower than n−1/2h−p2/4. Our Monte-Carlo experiments indicate that it outperforms the test proposed by Fan and Li (1996, Econometrica 64, 865–890).


1992 ◽  
Vol 8 (4) ◽  
pp. 452-475 ◽  
Author(s):  
Jeffrey M. Wooldridge

A test for neglected nonlinearities in regression models is proposed. The test is of the Davidson-MacKinnon type against an increasingly rich set of non-nested alternatives, and is based on sieve estimation of the alternative model. For the case of a linear parametric model, the test statistic is shown to be asymptotically standard normal under the null, while rejecting with probability going to one if the linear model is misspecified. A small simulation study suggests that the test has adequate finite sample properties, but one must guard against over fitting the nonparametric alternative.


Symmetry ◽  
2021 ◽  
Vol 13 (6) ◽  
pp. 936
Author(s):  
Dan Wang

In this paper, a ratio test based on bootstrap approximation is proposed to detect the persistence change in heavy-tailed observations. This paper focuses on the symmetry testing problems of I(1)-to-I(0) and I(0)-to-I(1). On the basis of residual CUSUM, the test statistic is constructed in a ratio form. I prove the null distribution of the test statistic. The consistency under alternative hypothesis is also discussed. However, the null distribution of the test statistic contains an unknown tail index. To address this challenge, I present a bootstrap approximation method for determining the rejection region of this test. Simulation studies of artificial data are conducted to assess the finite sample performance, which shows that our method is better than the kernel method in all listed cases. The analysis of real data also demonstrates the excellent performance of this method.


2002 ◽  
Vol 18 (5) ◽  
pp. 1197-1220
Author(s):  
Eiji Kurozumi

This paper investigates the limiting properties of the Canova and Hansen test, testing for the null hypothesis of no unit root against seasonal unit roots, under a sequence of local alternatives with the model extended to have seasonal dummies and trends or no deterministic term and also only seasonal dummies. We derive the limiting distribution of the test statistic and its characteristic function under local alternatives. We find that the local limiting power is an inverse function of the spectral density at frequency π (π/2) when we test against a negative unit root (annual unit roots). We also theoretically show that the local limiting power of the Canova and Hansen test against a negative unit root (annual unit roots) does not increase when the true process has annual unit roots (a negative unit root) but not a negative unit root (annual unit roots), which has been observed in Monte Carlo simulations in such research as Caner (1998, Journal of Business and Economic Statistics 16, 349–356), Canova and Hansen (1995, Journal of Business and Economic Statistics 13, 237–252), and Hylleberg (1995, Journal of Econometrics 69, 5–25).


2017 ◽  
Vol 34 (4) ◽  
pp. 754-789 ◽  
Author(s):  
Chaohua Dong ◽  
Jiti Gao

This paper proposes two simple and new specification tests based on the use of an orthogonal series for a considerable class of bivariate nonlinearly cointegrated time series models with endogeneity and nonstationarity. The first test is proposed for the case where the regression function is integrable, which fills a gap in the literature, and the second test, which nests the first one, deals with regression functions in a quite large function space that is sufficient for both theoretical and practical use. As a starting point of our asymptotic theory, the first test is studied initially and then the theory is extended to the second test. Endogeneity in two general forms is allowed in the models to be tested. The finite sample performance of the tests is examined through several simulated examples. Our experience generally shows that the proposed tests are easily implementable and also have stable sizes and good power properties even when the ‘distance’ between the null hypothesis and a sequence of local alternatives is asymptotically negligible.


2021 ◽  
pp. 096228022110619
Author(s):  
Yuanke Qu ◽  
Chun Yin Lee ◽  
KF Lam

Infectious diseases, such as the ongoing COVID-19 pandemic, pose a significant threat to public health globally. Fatality rate serves as a key indicator for the effectiveness of potential treatments or interventions. With limited time and understanding of novel emerging epidemics, comparisons of the fatality rates in real-time among different groups, say, divided by treatment, age, or area, have an important role to play in informing public health strategies. We propose a statistical test for the null hypothesis of equal real-time fatality rates across multiple groups during an ongoing epidemic. An elegant property of the proposed test statistic is that it converges to a Brownian motion under the null hypothesis, which allows one to develop a sequential testing approach for rejecting the null hypothesis at the earliest possible time when statistical evidence accumulates. This property is particularly important as scientists and clinicians are competing with time to identify possible treatments or effective interventions to combat the emerging epidemic. The method is widely applicable as it only requires the cumulative number of confirmed cases, deaths, and recoveries. A large-scale simulation study shows that the finite-sample performance of the proposed test is highly satisfactory. The proposed test is applied to compare the difference in disease severity among Wuhan, Hubei province (exclude Wuhan) and mainland China (exclude Hubei) from February to March 2020. The result suggests that the disease severity is potentially associated with the health care resource availability during the early phase of the COVID-19 pandemic in mainland China.


2014 ◽  
Vol 31 (6) ◽  
pp. 1281-1309 ◽  
Author(s):  
Juan M. Rodríguez-Póo ◽  
Stefan Sperlich ◽  
Philippe Vieu

This paper discusses the problem of testing misspecifications in semiparametric regression models for a large family of econometric models under rather general conditions. We focus on two main issues that typically arise in econometrics. First, many econometric models are estimated through maximum likelihood or pseudo-ML methods like, for example, limited dependent variable or gravity models. Second, often one might not want to fully specify the null hypothesis. Instead, one would rather impose some structure like separability or monotonicity. In order to address these points we introduce an adaptive omnibus test. Special emphasis is given to practical issues like adaptive bandwidth choice, general but simple requirements on the estimates, and finite sample performance, including the resampling approximations.


2000 ◽  
Vol 16 (5) ◽  
pp. 667-691 ◽  
Author(s):  
John Xu Zheng

This paper proposes a new nonparametric test for conditional parametric distribution functions based on the first-order linear expansion of the Kullback–Leibler information function and the kernel estimation of the underlying distributions. The test statistic is shown to be asymptotically distributed standard normal under the null hypothesis that the parametric distribution is correctly specified, whereas asymptotically rejecting the null with probability one if the parametric distribution is misspecified. The test is also shown to have power against any local alternatives approaching the null at rates slower than the parametric rate n−1/2. The finite sample performance of the test is evaluated via a Monte Carlo simulation.


2011 ◽  
Vol 28 (2) ◽  
pp. 363-386 ◽  
Author(s):  
Frederic Ferraty ◽  
Alejandro Quintela-del-Río ◽  
Philippe Vieu

In this paper we construct a statistic to test a specific form of the conditional density function. The main point of this work is to consider a functional explanatory variable, and the statistic is constructed following recent advances in nonparametric functional data analysis. The asymptotic behavior of the test statistic is studied under both the null hypothesis and some local alternative hypothesis. Then, the finite sample behavior of the method is studied through simulated examples. This paper is one of the first in the setting of nonparametric specification tests when functional data are involved.


2019 ◽  
Vol 71 (1) ◽  
pp. 49-61
Author(s):  
Rajeshwari Majumdar ◽  
Suman Majumdar

The asymptotic solution to the problem of comparing the means of two heteroscedastic populations, based on two random samples from the populations, hinges on the pivot underpinning the construction of the confidence interval and the test statistic being asymptotically standard normal, which is known to happen if the two samples are independent and the ratio of the sample sizes converges to a finite positive number. This restriction on the asymptotic behavior of the ratio of the sample sizes carries the risk of rendering the asymptotic justification of the finite sample approximation invalid. It turns out that neither the restriction on the asymptotic behavior of the ratio of the sample sizes nor the assumption of cross sample independence is necessary for the pivotal convergence in question to take place. If the joint distribution of the standardized sample means converges to a spherically symmetric distribution, then that distribution must be bivariate standard normal (which can happen without the assumption of cross sample independence), and the aforesaid pivotal convergence holds. AMS Classification: 62E20, 62G20


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