Specification tests based on MCMC output

Specification tests based on MCMC output

Two test statistics are proposed to determine model specification after a model is estimated by an MCMC method. The first test is the MCMC version of IOSA test and its asymptotic null distribution is normal. The second test is motivated from the power enhancement technique of Fan et al. (2015). It c...

Full description

Saved in:
Bibliographic Details
Main Authors: LI, Yong, YU, Jun, ZENG, Tao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
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/2220
https://ink.library.smu.edu.sg/context/soe_research/article/3219/viewcontent/Specification_Test_MCMC_Output_2018_July.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2220
https://ink.library.smu.edu.sg/context/soe_research/article/3219/viewcontent/Specification_Test_MCMC_Output_2018_July.pdf

Similar Items