Filtering as a Test of Specification

This paper generalizes the first differencing test proposed by Plosser, Schwert and White to the case of finite one-sided polynomial filters. We demonstrate that the filtering test is asymptotically equivalent to a Hausman-Wu test. This provides a computationally simple way of performing the test an...

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Bibliographic Details
Published in:International economic review (Philadelphia) 1992-02, Vol.33 (1), p.129-135
Main Authors: Cushing, Matthew J., McGarvey, Mary G.
Format: Article
Language:English
Subjects:
Accuracy
Autocorrelation
Coefficients
Comparative studies
Econometrics
Economic models
Economic statistics
Economic theory
Estimating techniques
Estimators
Instrumental variables estimation
International economics
Linear regression
Regression analysis
Scalars
Tests
Variables
Weighted averages
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Summary:This paper generalizes the first differencing test proposed by Plosser, Schwert and White to the case of finite one-sided polynomial filters. We demonstrate that the filtering test is asymptotically equivalent to a Hausman-Wu test. This provides a computationally simple way of performing the test and analyzing the test's power. We show that the choice of lag weights is nontrivial for filters of order greater than one. By examining the optimal choice of filter, the paper shows under what circumstances filtering tests will be powerful.
ISSN:0020-6598
1468-2354
DOI:10.2307/2526987