Research

Filtering as a Test of Specification

This paper generalizes the first differencing test proposed by C. I. Plosser, G. W. Schwert, and H. White to the case of finite one-sided polynomial filters. The authors demonstrate that the filtering test is asymptotically equivalent to a Hausman-Wu test. This provides a computationally simple way of performing the test and analyzing the test's power. The authors show that the choice of lag weights is nontrivial for filters of order greater than one. By examining the optimal choice of filter, the paper shows under what circumstances filtering tests will be powerful.

Publication Information
Article Title: Filtering as a Test of Specification
Journal: International Economic Review (Feb, 1992)
v. 33, iss. 1, pp. 129-135
Author(s): Cushing, Matthew J;  McGarvey, Mary G
Researcher Information
    
Cushing, Matthew J
Cushing, Matthew J
Professor of Economics
Expertise:
  • Labor Economics
  • Econometrics
  • Macroeconomics
Economics
CoB 525 U
P.O. Box 880489
University of Nebraska-Lincoln
Lincoln, NE 68588-0489, USA
Phone: (402) 472-2323
Fax: (402) 472-9700
mcushing1@unl.edu
McGarvey, Mary G
McGarvey, Mary G
Associate Professor of Economics
Expertise:
  • Applied Econometrics
  • Public Policy Analysis
  • Economics of Obesity
  • Labor Markets
Economics
CoB 525 P
P.O. Box 880489
University of Nebraska-Lincoln
Lincoln, NE 68588-0489, USA
Phone: (402) 472-9415
mmcgarvey1@unl.edu