Diagnostic testing and evaluation of maximum likelihood models
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- A general approach to Lagrange multiplier model diagnostics
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Cited in
(82)- Testing for heteroskedasticity in fixed effects models
- A test for bivariate normality with applications in microeconometric models
- A unified approach to proving parametric bootstrap consistency for some goodness-of-fit tests
- Minimum chi-square estimation and tests for model selection
- Testing normality: a GMM approach
- Is a Normal Copula the Right Copula?
- Regression analysis of multivariate fractional data
- GEL METHODS FOR NONSMOOTH MOMENT INDICATORS
- Asymptotic variance of test statistics in the ML and QML frameworks
- Hypothesis testing based on a vector of statistics
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- On the lack of power of omnibus specification tests
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- Inference in dynamic discrete choice problems under local misspecification
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- Evaluating specification tests for Markov-switching time-series models
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations
- Testing additive separability of error term in nonparametric structural models
- ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
- On specification testing of ordered discrete choice models
- A long-run pure variance common features model for the common volatilities of the Dow Jones
- Joint maximum likelihood estimation for diagnostic classification models
- Robust tests for heteroskedasticity in the one-way error components model
- A simple test for a parametric single index model.
- A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models
- Lending cycles
- Centered-residuals-based moment estimator and test for stochastic frontier models
- Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
- Sequential estimation of shape parameters in multivariate dynamic models
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- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- A simple framework for nonparametric specification testing
- On improving the robustness and reliability of Rao's score test
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
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- Two-part multiple spell models for health care demand
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- Testing single-index restrictions with a focus on average derivatives
- Estimation and testing of kink regression model with endogenous regressors
- Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
- Specification tests for non-Gaussian structural vector autoregressions
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- Regression Kink With an Unknown Threshold
- Estimation of long-run inefficiency levels: a dynamic frontier approach
- Sequential nonlinear estimation with nonaugmented priors
- Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
- Econometric analysis of jump-driven stochastic volatility models
- Consistent model specification tests for time series econometric models
- M-estimators for models with a mix of discrete and continuous parameters
- A simple consistent bootstrap test for a parametric regression function
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