Joint and marginal specification tests for conditional mean and variance models

DOI10.1016/j.jeconom.2007.08.010zbMath1418.62319OpenAlexW2099708886MaRDI QIDQ291103

Juan Carlos Escanciano

Publication date: 6 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.08.010

zbMATH Keywords

model checksnonlinear time serieswild bootstrapdiagnostic testsgeneralized spectral analysisvolatility model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations, A Model Specification Test For GARCH(1,1) Processes, A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS, Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models, The ZD-GARCH model: a new way to study heteroscedasticity, Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models, Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary, Empirical‐process‐based specification tests for diffusion models, Extremal Dependence-Based Specification Testing of Time Series, Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models, ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION, Semiparametric inference in a GARCH-in-mean model, A joint test for parametric specification and independence in nonlinear regression models

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