AN ALTERNATIVE ASYMPTOTIC ANALYSIS OF RESIDUAL-BASED STATISTICS

This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with respect to the model's parameters and thus is especially useful in cases whe...

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Bibliographic Details
Published in:The review of economics and statistics 2012-02, Vol.94 (1), p.88-99
Main Authors: Andreou, Elena, Werker, Bas J. M.
Format: Article
Language:English
Subjects:
Analytical estimating
Asymptotic smoothness
Convergence
Distribution
Dynamic modeling
Dynamic models
Econometrics
Economic models
Economic statistics
Economic theory
Estimators
Parametric models
Statistical analysis
Statistical methods
Statistical theories
Statistical variance
Statistics
Studies
Volatility
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Summary:This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with respect to the model's parameters and thus is especially useful in cases where such smoothness is difficult to establish. Instead, we use a locally uniform convergence in distribution condition, which is automatically satisfied by residual-based specification test statistics. To illustrate, we derive the limiting distribution of a new functional form specification test for discrete choice models, as well as a runs-based tests for conditional symmetry in dynamic volatility models.
ISSN:0034-6535
1530-9142
DOI:10.1162/REST_a_00151