Bootstrap specification tests for dynamic conditional distribution models (Q6108286): Difference between revisions

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scientific article; zbMATH DE number 7704480

Language	Label	Description	Also known as
English	Bootstrap specification tests for dynamic conditional distribution models	scientific article; zbMATH DE number 7704480

Statements

scholarly article

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Bootstrap specification tests for dynamic conditional distribution models (English)

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Indeewara Perera

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Mervyn J. Silvapullé

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Journal of Econometrics

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publication date

29 June 2023

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zbMATH Keywords

GARCH

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goodness-of-fit

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residual empirical process

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Kolmogorov-Smirnov test

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lack-of-fit test

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stochastic recurrence equations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2022.08.006

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Residual-based rank specification tests for AR-GARCH type models

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A Conditional Kolmogorov Test

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The efficiency of the estimators of the parameters in GARCH processes.

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GARCH processes: structure and estimation

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Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

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SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION

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An Empirical Likelihood Goodness-of-Fit Test for Time Series

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A unified approach to validating univariate and multivariate conditional distribution models in time series

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Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing

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Asymptotics for parametric GARCH-in-mean models

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Bootstrap conditional distribution tests in the presence of dynamic misspecification

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Distribution-free specification tests of conditional models

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Goodness-of-Fit Tests for Multiplicative Models with Dependent Data

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ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS

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Asymptotic distribution-free tests for semiparametric regressions with dependent data

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Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS

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Inference in Arch and Garch Models with Heavy-Tailed Errors

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Autoregressive Conditional Density Estimation

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Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals

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Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator

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Martingale transforms goodness-of-fit tests in regression models.

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Weighted empirical processes in dynamic nonlinear models.

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Fitting an error distribution in some heteroscedastic time series models

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A goodness-of-fit test for GARCH innovation density

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Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression

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LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS

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Resampling methods for dependent data

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A Model Specification Test For GARCH(1,1) Processes

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Anderson Inequality is Strict for Gaussian and Stable Measures

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Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

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Score based goodness-of-fit tests for time series

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Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations

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Fitting a two phase threshold multiplicative error model

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SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS

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Bootstrap based probability forecasting in multiplicative error models

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Constrained Statistical Inference

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Score test of fit for composite hypothesis in the GARCH\((1,1)\) model

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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A specification test for dynamic conditional distribution models with function-valued parameters

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Asymptotic Statistics

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Weak convergence and empirical processes. With applications to statistics

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Maximum Likelihood Estimation of Misspecified Models

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JECONOM.2022.08.006

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Sitelinks

Mathematics(1 entry)

mardi Publication:6108286

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