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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

A Modified Cox Test for Time Series Models

Vol.16, No.2, June , 27–45



  •   (Department of Economics, Ajou University)

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Abstract  

We propose a new approach based on conditional means and variances to avoid the computational difficulties of the traditional Cox test. This approach can be extended to more complicated time series models. Monte Carlo experiments are performed to investigate the potential applicability of the proposed test. Empirical applications to two different non-linear error equation models are also examined.


Keywords
   Cox Test, Conditional Mean, Conditional Variance, Modified Cox Test, Non-Linear Error Equation Models

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