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Testing for Time-Varying Properties Under Misspecified Conditional Mean and Variance

机译：在误报条件平均值和方差下测试时变性的测试

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摘要

This study examines statistical performance of tests for time-varying properties under misspecified conditional mean and variance. When time-varying properties of the conditional mean are tested in the case in which data have no time-varying mean but have time-varying variance, asymptotic tests have size distortions. The distortions are minimized by the use of a bootstrap method. Similarly, when time-varying properties of the conditional variance are tested in the case in which data have time-varying mean but no time-varying variance, asymptotic tests have large size distortions. The distortions are not improved even by the use of bootstrap methods. We show that tests for time-varying properties of the conditional mean by the bootstrap are robust regardless of the time-varying variance model, whereas tests for time-varying properties of the conditional variance do not perform well in the presence of misspecified time-varying mean.
机译：本研究审查了在误操作条件平均值和方差下的时变性能测试的统计性能。 当在数据没有时变平均值但具有时变差的情况下测试有条件均值的时变性能时，渐近试验具有尺寸的扭曲。 通过使用自举方法，扭曲最小化。 类似地，当在数据具有时变平均值但没有时变差的情况下测试有条件方差的时变性，但渐近试验具有大尺寸的扭曲。 即使通过使用引导方法，甚至不会改善扭曲。 我们表明，无论时变差模型如何，引导均值的条件均值的时变特性的测试是鲁棒的，而条件方差的时变特性的测试在错过的时变的情况下不会良好地表现良好 意思。

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