MARC details
| 000 -LEADER |
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| fixed length control field |
01936nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240322085848.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240322b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
02664666 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Escanciano, J. Carlos |
| Relator term |
author |
| 245 ## - TITLE STATEMENT |
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| Title |
On the lack of power of omnibus specification tests |
| Statement of responsibility, etc. |
created by J. Carlos Escanciano |
| 264 ## - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Place of production, publication, distribution, manufacture |
Cambridge: |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009. |
| 336 ## - CONTENT TYPE |
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| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
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| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
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| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
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| Title |
Econometric theory |
| Volume/sequential designation |
Volume 25, number 1 |
| 520 3# - SUMMARY, ETC. |
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| Summary, etc. |
Designed to have power against all alternatives, omnibus consistent tests are the primary econometric tools for testing the correct specification of parametric conditional means when there is no information about the possible alternative. The main purpose of this paper is to show that, contrary to what is generally believed, omnibus specification tests only have substantial local power against alternatives in a finite-dimensional space (usually unknown to the researcher). We call such a space the principal space. We characterize and estimate the principal space for Cramér–von Mises tests. These results are some of the by-products of a detailed theoretical power analysis carried out in the paper. This investigation focuses on the class of the so-called integrated consistent tests under possibly heteroskedastic time series. A Monte Carlo experiment examines the finite-sample properties of tests and estimators of preferred alternatives. Finally, an application of our theory to test the martingale difference hypothesis of some exchange rates provides new information on the rejection of omnibus tests and illustrates our findings. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Scientific modelling |
| General subdivision |
Statistical test |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://doi.org/10.1017/S0266466608090051 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |