Bootstrap specification tests for dynamic conditional distribution models

DOI10.1016/J.JECONOM.2022.08.006OpenAlexW4296876494MaRDI QIDQ6108286

Mervyn J. Silvapullé, Indeewara Perera

Publication date: 29 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.08.006

zbMATH Keywords

GARCHgoodness-of-fitKolmogorov-Smirnov teststochastic recurrence equationslack-of-fit testresidual empirical process

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary

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