Conditional Skewness, Kurtosis, and Density Specification Testing: Moment-Based versus Nonparametric Tests
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A. Tolga Ergun
Recently, there has been much interest in modeling time-varying higher-order conditional moments in the density estimation context. These studies employ a moment-based methodology to test their specification of higher-order conditional moments. We compare the size and power of these moment-based tests with the size and power of a recently developed set of nonparametric tests. The results show that the moment-based tests have good size only for conditional skewness and have a large size distortion when all the moment conditions are tested jointly and used as an overall specification test. The nonparametric tests have a slight size distortion for conditional higher moments, which can be eliminated. The power of the nonparametric tests for detecting overall misspecification and lack of dynamics in the conditional higher moments is better than the power of the moment-based tests.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
Artikel in diesem Heft
- Article
- Estimation of Parameters in the Presence of Model Misspecification and Measurement Error
- An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns
- Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
- First and Second Order Asymptotic Bias Correction of Nonlinear Estimators in a Non-Parametric Setting and an Application to the Smoothed Maximum Score Estimator
- Conditional Skewness, Kurtosis, and Density Specification Testing: Moment-Based versus Nonparametric Tests
Artikel in diesem Heft
- Article
- Estimation of Parameters in the Presence of Model Misspecification and Measurement Error
- An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns
- Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
- First and Second Order Asymptotic Bias Correction of Nonlinear Estimators in a Non-Parametric Setting and an Application to the Smoothed Maximum Score Estimator
- Conditional Skewness, Kurtosis, and Density Specification Testing: Moment-Based versus Nonparametric Tests
