Filtering as a Test of Specification
将Plosser等人提出的一阶差分检验推广到有限单边多项式滤波情形，证明滤波检验与Hausman-Wu检验渐近等价，并分析了滤波阶数大于一时滞后权重的选择问题，为研究者提供了一种计算简便的检验方法。
This paper generalizes the first differencing test proposed by C. I. Plosser, G. W. Schwert, and H. White to the case of finite one-sided polynomial filters. The authors demonstrate that the filtering test is asymptotically equivalent to a Hausman-Wu test. This provides a computationally simple way of performing the test and analyzing the test's power. The authors show that the choice of lag weights is nontrivial for filters of order greater than one. By examining the optimal choice of filter, the paper shows under what circumstances filtering tests will be powerful. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.