Neglected serial correlation tests in UCARIMA models

• Gabriele Fiorentini ^[1] ; Enrique Sentana
  1. [1] Università di Firenze
• Localización: SERIEs : Journal of the Spanish Economic Association, ISSN 1869-4195, Vol. 7, Nº. 1, 2016 (Ejemplar dedicado a: Special Issue in Honor of Agustín Maravall), págs. 121-178
• Idioma: inglés
• Enlaces
  • Texto completo
• Dialnet Métricas: 1 Cita
• Resumen

  • We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided extremum tests, which are asymptotically equivalent to likelihood ratio tests, and explain howto compute reliable Wald tests. We also explicitly relate the incidence of those problems to the model identification conditions and compare our tests with tests based on the reduced form prediction errors. Our Monte Carlo exercises assess the finite sample reliability and power of our proposed tests.