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A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications
Spatial dependence Score test Robust test Distribution misspecification Local misspecification
2011/4/2
It is well known that the standard Lagrange multiplier (LM) test loses its local optimality when the true non-null model is not correctly specified. In this paper, we derive a score test robust to loc...
Detecting Misspecifications in Autoregressive Conditional Duration Models and Non-negative Time-series Processes
Autoregressive conditional duration dispersion clustering finite sample correction generalized spectral derivative nonlinear time series parameter estimation uncertainty Wooldridge’s Device
2011/4/1
We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) mode...
Simulation Study for Misspecifications on a Frailty Model
Simulation Study Misspecifications a Frailty Model
2009/9/18
Simulation Study for Misspecifications on a Frailty Model。