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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |