Likelihood ratio specification tests

Article Abstract:

The potential of using a likelihood rational specification test for acquiring more accurate inference in parametric models is examined. Parametric models are used in microeconomic research in tandem with post-fitting diagnostic tests to determine if there is misspecification. Misspecification tests examine data for failure of moment identities. The research considers a Bartlett correction, which differs from conventional moment tests in which adjustments grounded on second order asymptotic theory may falter.

Models, Asymptotic expansions, Maximum likelihood estimates (Statistics), Parameter estimation, Maximum likelihood (Statistics)

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A mirror image invariance for M-estimators

Article Abstract:

Monte Carlo experiments are widely used to evaluate the accuracy of asymptotic approximations in econometric estimators. Such experiments provide good information, but care must be taken to construct experiments in such a manner as to avoid giving an overly optimistic judgment over the performance of an estimator. A theorem regarding the choice of covariate distribution and which provides a mirror image invariance for M-estimators is presented.

Estimation theory, Monte Carlo method, Monte Carlo methods

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Modelling nonlinear relationships between extended-memory variables

Article Abstract:

The existence of nonlinear relationships between extended memory variables cause modeling errors which are unseen in stationary or linear correlations. To address these problems, several definitions are derived. One, the I(1), is used to demonstrate the use of standard cointegration concepts and linearity tests. Likewise, techniques to develop nonlinear models are discussed for 'the I(1) and general case.

Computer memory, Nonlinear theories, Memory (Computers)

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