A specification test based on the MCMC output

A specification test based on the MCMC output

A test statistic is proposed to assess themodel specification after the model is estimated by Bayesian MCMC methods. Thenew test is motivated from the power enhancement technique of Fan, Liao and Yao(2015). It combines a component (J1) that tests anull point hypothesis in an expanded model and a pow...

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Bibliographic Details
Main Authors: LI, Yong, YU, Jun, ZENG, Tao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Specification test
Point hypothesis test
Latent variable models
Markov chain Monte Carlo
Power enhancement technique
Information matrix
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1967
https://ink.library.smu.edu.sg/context/soe_research/article/2966/viewcontent/BTSpecification55_.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1967
https://ink.library.smu.edu.sg/context/soe_research/article/2966/viewcontent/BTSpecification55_.pdf

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