TY  - JOUR
AU  - Engle,Robert F.
AU  - Kozicki,Sharon
TI  - Testing For Common Features
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 91
PY  - 1990
Y2  - October 1990
UR  - http://www.nber.org/papers/t0091
L1  - http://www.nber.org/papers/t0091.pdf
N1  - Author contact info:
Robert F. Engle, III
Department of Finance, Stern School of Business
New York University, Salomon Center
44 West 4th Street, Suite 9-160
New York, NY  10012-1126
Tel: 212/998-0710
Fax: 212/995-4220
E-Mail: rengle@stern.nyu.edu

Sharon Kozicki
Bank of Canada
234 Wellington St.
Ottawa,  ON    K1A 0G9
Canada
Tel: 613-782-8437
Fax: 613-782-7163
E-Mail: skozicki@bankofcanada.ca
AB  - This paper introduces a class of statistical tests for the hypothesis that some feature of a data set is common to several variables. A feature is detected in a single series by a hypothesis test where the null is that it is absent, and the alternative is that it is present. Examples are serial correlation, trends, seasonality, heteroskedasticity, ARCH, excess kurtosis and many others. A feature is common to a multivariate data set if a linear combination of the series no longer has the feature. A test for common features can be based on the minimized value of the feature test over all linear combinations of the data. A bound on the distribution for such a test is developed in the paper. For many important cases, an exact asymptotic critical value can be obtained which is simply a test of overidentifying restrictions in an instrumental variable regression.
ER  -