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摘要翻译：
本文对分位数自回归的动态规范正确和无遗漏潜在因素的联合假设提出了一个检验。如果复合null被拒绝，我们将继续解开拒绝的原因，即动态错误规范或省略的变量。我们在相当弱的条件下建立了检验统计量的渐近分布，并证明了因子估计误差是可以忽略的。蒙特卡罗研究表明，所建议的试验具有良好的有限样本性质。最后，我们对英国的GDP增长和CPI通胀模型进行了实证说明，我们发现在GDP增长方面，因子增广模型与非增广模型相比是正确的，同时也探讨了增长和通胀分布的不对称行为。
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英文标题：
《Consistent Specification Test of the Quantile Autoregression》
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作者：
Anthoulla Phella
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
This paper proposes a test for the joint hypothesis of correct dynamic specification and no omitted latent factors for the Quantile Autoregression. If the composite null is rejected we proceed to disentangle the cause of rejection, i.e., dynamic misspecification or an omitted variable. We establish the asymptotic distribution of the test statistics under fairly weak conditions and show that factor estimation error is negligible. A Monte Carlo study shows that the suggested tests have good finite sample properties. Finally, we undertake an empirical illustration of modelling GDP growth and CPI inflation in the United Kingdom, where we find evidence that factor augmented models are correctly specified in contrast with their non-augmented counterparts when it comes to GDP growth, while also exploring the asymmetric behaviour of the growth and inflation distributions.
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PDF链接：
https://arxiv.org/pdf/2010.03898
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