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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| 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 |