{"title":"动态因素模型的基于似然的规格测试","authors":"M. Chiba","doi":"10.14490/JJSS.43.91","DOIUrl":null,"url":null,"abstract":"This paper proposes a series of specification tests of the dynamic factor model. The Granger non-causality, linear dependency, and omitted explanatory variables tests are presented. All of the tests can be constructed as a natural byproduct of the routine used to calculate the “smoothed” moments, and they do not require the estimation of additional parameters. The actual size and power of the tests are examined in Monte Carlo experiments. The tests are applied to the term structure model of a yield curve.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"LIKELIHOOD-BASED SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS\",\"authors\":\"M. Chiba\",\"doi\":\"10.14490/JJSS.43.91\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper proposes a series of specification tests of the dynamic factor model. The Granger non-causality, linear dependency, and omitted explanatory variables tests are presented. All of the tests can be constructed as a natural byproduct of the routine used to calculate the “smoothed” moments, and they do not require the estimation of additional parameters. The actual size and power of the tests are examined in Monte Carlo experiments. The tests are applied to the term structure model of a yield curve.\",\"PeriodicalId\":326924,\"journal\":{\"name\":\"Journal of the Japan Statistical Society. Japanese issue\",\"volume\":\"18 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of the Japan Statistical Society. Japanese issue\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.14490/JJSS.43.91\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of the Japan Statistical Society. Japanese issue","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14490/JJSS.43.91","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
LIKELIHOOD-BASED SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS
This paper proposes a series of specification tests of the dynamic factor model. The Granger non-causality, linear dependency, and omitted explanatory variables tests are presented. All of the tests can be constructed as a natural byproduct of the routine used to calculate the “smoothed” moments, and they do not require the estimation of additional parameters. The actual size and power of the tests are examined in Monte Carlo experiments. The tests are applied to the term structure model of a yield curve.
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