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Journal of Economic Theory and Econometrics
Journal of the Korean Econometric Society
A Modified Cox Test for Time Series Models
Vol.16, No.2, June 2005, 27–45
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Donggeun Kim
(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.
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Keywords
Cox Test, Conditional Mean, Conditional Variance, Modified Cox Test, Non-Linear Error Equation Models |
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