A consistent test for multivariate conditional distributions

DOI10.1080/07474938.2011.553518MaRDI QIDQ3168910zbMATH OpenOpenAlexFDO

Authors Fuchun Li, Greg Tkacz

Publication date 27 April 2011

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-34.pdf

zbMATH Keywords

stochastic differential equationconsistent testabsolutely regular processdegenerate \(U\)-statistics

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15)

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Cites work

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• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• Consistent model specification tests for time series econometric models
• Distributional properties of portfolio weights
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Cited in

(7)

• A consistent bootstrap test for conditional density functions with time-series data
• INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
• Estimating and testing conditional sums of means in high dimensional multivariate binary data
• A specification test for dynamic conditional distribution models with function-valued parameters
• A unified approach to validating univariate and multivariate conditional distribution models in time series
• scientific article; zbMATH DE number 639817 (Why is no real title available?)
• On the Walach - Zeheb multivariable positivity test

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