02059cam a22003017 4500001000600000003000500006005001700011006001900028007001500047008004100062100002100103245006800124260006600192300005700258490005100315500001800366520087300384530006001257538007201317538003601389588002501425690008501450700002101535710004201556830008601598856003701684856003601721t0091NBER20200405140222.0m o d cr cnu||||||||200405s1990 mau fo 000 0 eng d1 aEngle, Robert F.10aTesting For Common Features /cRobert F. Engle, Sharon Kozicki. aCambridge, Mass.bNational Bureau of Economic Researchc1990. a1 online resource:billustrations (black and white);1 aNBER technical working paper seriesvno. t0091 aOctober 1990.3 aThis 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. aHardcopy version available to institutional subscribers aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.0 aPrint version record 7aC - Mathematical and Quantitative Methods2Journal of Economic Literature class.1 aKozicki, Sharon.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0091.40uhttp://www.nber.org/papers/t009140uhttp://dx.doi.org/10.3386/t0091