Dynamic specification tests for dynamic factor models
利用频域技术推导了参数动态因子模型误设定的得分检验，通过检验平滑潜变量的自协方差是否匹配理论值来诊断模型，蒙特卡洛模拟验证了有限样本的可靠性。
Summary We derive computationally simple expressions for score tests of misspecification in parametric dynamic factor models using frequency domain techniques. We interpret those diagnostics as time domain moment tests which assess whether certain autocovariances of the smoothed latent variables match their theoretical values under the null of correct model specification. We also reinterpret reduced‐form residual tests as checking specific restrictions on structural parameters. Our Gaussian tests are robust to nonnormal, independent innovations. Monte Carlo exercises confirm the finite‐sample reliability and power of our proposals. Finally, we illustrate their empirical usefulness in an application that constructs a US coincident indicator.