Distribution-free specification tests for dynamic linear models

DOI10.1111/J.1368-423X.2009.00280.XzbMath1180.62056MaRDI QIDQ3406056

Carlos Velasco, Miguel A. Delgado, Javier Hidalgo

Publication date: 12 February 2010

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

zbMATH Keywords

empirical processeslocal alternativesgoodness-of-fitexogeneitydynamic modelsmartingale decomposition

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (1)

Distribution-free tests for time series models specification

Cites Work

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• Distribution free goodness-of-fit tests for linear processes
• Model checks for regression: an innovation process approach
• Asymptotically optimal estimation in misspecified time series models
• ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S U_p-STATISTIC
• On a measure of lack of fit in time series models
• Model Checks for Generalized Linear Models
• Consistent Testing for Serial Correlation of Unknown Form

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