A consistent bootstrap test for conditional density functions with time-series data

DOI10.1016/j.jeconom.2005.06.016zbMath1345.62073OpenAlexW2002527646MaRDI QIDQ275271

Fuchun Li, Greg Tkacz

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.016

zbMATH Keywords

bootstrapconditional density functiondensity forecasting

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Economic time series analysis (91B84)

Related Items (18)

Bootstrap conditional distribution tests in the presence of dynamic misspecification ⋮ TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS ⋮ Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Information ratio test for model misspecification on parametric structures in stochastic diffusion models ⋮ Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence ⋮ INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS ⋮ Stationarity-based specification tests for diffusions when the process is nonstationary ⋮ CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION ⋮ DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS ⋮ Assessing the value of Hermite densities for predictive distributions ⋮ A unified approach to validating univariate and multivariate conditional distribution models in time series ⋮ Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations ⋮ Likelihood-based scoring rules for comparing density forecasts in tails ⋮ Semi-nonparametric estimation and misspecification testing of diffusion models ⋮ A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS ⋮ A specification test for dynamic conditional distribution models with function-valued parameters ⋮ Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

Cites Work

• Unnamed Item
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Some mixing properties of time series models
• On the number of bootstrap simulations required to construct a confidence interval
• Mixing properties of ARMA processes
• The mixing property of bilinear and generalised random coefficient autoregressive models
• Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
• On some global measures of the deviations of density function estimates
• A CONSISTENT TEST OF CONDITIONAL PARAMETRIC DISTRIBUTIONS
• A Theory of the Term Structure of Interest Rates
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• On U-statistics and v. mise? statistics for weakly dependent processes
• Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions
• SUR UN MODÉLE AUTORÉGRESSIF NON LINÉAIRE, ERGODICITÉ ET ERGODICITÉ GÉOMÉTRIQUE
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• A Conditional Kolmogorov Test
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• An equilibrium characterization of the term structure
• Maximum Likelihood Estimation of Misspecified Models

This page was built for publication: A consistent bootstrap test for conditional density functions with time-series data