摘要翻译：
本研究检验了在错误规定的条件均值和方差下，时变性质检验的统计性能。当我们检验条件均值的时变性质时，当数据没有时变均值但有时变方差时，渐近检验存在大小畸变。通过使用引导方法，这一点得到了改进。类似地，当我们检验条件方差的时变性质时，在数据有时变均值但没有时变方差的情况下，渐近检验有很大的尺寸畸变。即使使用引导方法也无法改善这一点。我们证明，无论时变方差模型如何，用bootstrap对条件方差的时变性质的检验都是稳健的，而对条件方差的时变性质的检验在存在错误的时变均值的情况下表现不佳。
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英文标题：
《Testing for time-varying properties under misspecified conditional mean
  and variance》
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作者：
Daiki Maki and Yasushi Ota
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最新提交年份：
2019
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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 study examines statistical performance of tests for time-varying properties under misspecified conditional mean and variance. When we test for time-varying properties of the conditional mean in the case in which data have no time-varying mean but have time-varying variance, asymptotic tests have size distortions. This is improved by the use of a bootstrap method. Similarly, when we test for time-varying properties of the conditional variance in the case in which data have time-varying mean but no time-varying variance, asymptotic tests have large size distortions. This is 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.
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PDF链接：
https://arxiv.org/pdf/1907.12107