Asymptotic analysis of the 1-step recursive Chow test (and variants) in time series model
<p>This thesis concerns the asymptotic behaviour of the sequence of 1-step recursive Chow statistics and various tests derived therefrom. The 1-step statistics are produced as diagnostic output in standard econometrics software, and are expected to reflect model misspecification. Such misspeci...
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| Format: | Thesis |
| Language: | English |
| Published: |
2013
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| Subjects: |