FILTERING AS A TEST OF SPECIFICATION

• 成果类型: Article
• 署名作者: CUSHING, MJ; MCGARVEY, MG
• 署名单位: University System of Georgia; Georgia State University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.2307/2526987
• 发表日期: 1992
• 页码: 129-135
• 关键词: test statistics

摘要

This paper generalizes the first differencing test proposed by Plosser, Schwert and White to the case of finite one-sided polynomial filters. We demonstrate that the filtering test is asymptotically equivalent to a Hausman-Wu test. This provides a computationally simple way of performing the test and analyzing the test's power. We show that the choice of lag weights is nontrivial for filters of order greater than one. By examining the optimal choice of filter, the paper shows under what circumstances filtering tests will be powerful.