政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/52292
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/52292


    Title: 兩個一致性的模型設定新檢定
    Other Titles: Two New Consistent Model Specification Tests
    Authors: 徐士勛
    Contributors: 行政院國家科學委員會
    國立政治大學經濟學系
    Keywords: 經濟學
    Date: 2009-08
    Issue Date: 2011-11-28 15:52:33 (UTC+8)
    Abstract: 一般而言, 經濟或計量模型都可以藉由 「條件動差限制式」 來加以定義。 因此, 如何利用條件動差限制式來檢驗模型設定的正確與否一直是文獻上的重要議題。 其中, 廣為人知的檢定是 Bierens (1982,Journal of Econometrics) 所提出的 「條件動差積分型檢定」 (Integrated Conditional Moment test, 簡稱為 ICM 檢定)。 然而, 這類的 ICM 檢定有一些已知的缺點: 它需要對應於虛無假設下的一致性參數估計式、 需要運用數值方法以進行積分運算, 並且其檢定統計量的極限分配會隨著資料的特性而不同。 這些特徵都增加了ICM 檢定於實際操作時的難度。 準此, 這個計畫提出了兩個方式來改善此類 ICM 檢定。 第一個方法結合了 ICM 檢定及傅利葉分析, 進而提出了一個容易操作的檢定。 這個檢定統計量和 ICM 檢定具有相同的極限分配, 但是它不需仰賴數值方法進行積分。 再者, 由於此方法自然而然地將條件動差限制下的參數估計及模型檢定相結合, 因此我們也不需要額外的一致性參數估計式。 除此之外, 我更擴展了這第一個方法的精神進而得到了一組無窮多條 「無條件動差限式」, 與一般化的實證概似法 (generalized empirical likelihood) 結合, 建立了一個概似比例型態 (Likelihood-Ratio type) 的檢定統計量。 這是我於此計畫中所提出的第二個檢定方法。 在一些條件假設下, 此統計量經過適當的標準化後, 其極限分配將會是和原始資料型態無關的標準常態分配。 針對這兩種新的檢定, 我們建立了對應的極限性質, 也提供了模擬的結果。
    Economic and econometric models are usually defined by conditional moment restrictions.Hence,checking the validity of models through these conditional moment restrictions is a central issue in the literature.One of the popular consistent tests is the Integrated Conditional Moment (ICM) test proposed by Bierens~(1982, Journal of Econometrics).This ICM-type test,however,suffers from some drawbacks:it needs a preliminary consistent estimate of model parameters under the null,the numerical method of integrations,and it is not pivotal.These features make the implementation of this ICM-type test cumbersome. This project proposes two approaches to improve the ICM test.The first proposed test statistic is an easy-to-implement version of ICM test by extending the ICM test and the Fourier analysis.It is asymptotic equivalent to the ICM test statistic,but it has an analytic form instead.Moreover,no preliminary consistent estimate is needed because this unified approach relates estimation and diagnostic testing in a rather natural way.Besides,I extend the idea behind the first approach by deriving a new set of infinite many unconditional moment restrictions,and employ generalized empirical likelihood (GEL) method to construct the Likelihood-Ratio type test statistic.After suitable normalization,the asymptotic distribution of the proposed empirical LR test statistic should be standard normal,which is pivotal.For these two proposed tests,we establish the corresponding asymptotics and provide some Monte Carlo simulation results.
    Relation: 基礎研究
    學術補助
    研究期間:9808~ 9907
    研究經費:798仟元
    Source URI: http://grbsearch.stpi.narl.org.tw/GRB/result.jsp?id=1523440&plan_no=NSC98-2410-H004-057&plan_year=98&projkey=PF9806-0801&target=plan&highStr=*&check=0&pnchDesc=%E5%85%A9%E5%80%8B%E4%B8%80%E8%87%B4%E6%80%A7%E7%9A%84%E6%A8%A1%E5%9E%8B%E8%A8%AD%E5%AE%9A%E6%96%B0%E6%AA%A2%E5%AE%9A
    Data Type: report
    Appears in Collections:[Department of Economics] NSC Projects

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