Specification tests based on MCMC output

• 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
• Institution: Singapore Management University

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...