Distribution-free specification tests for dynamic linear models

DOI10.1111/J.1368-423X.2009.00280.XMaRDI QIDQ3406056zbMATH OpenFDO

Authors Carlos I. Hoyos Velasco, Miguel Delgado, Javier Hidalgo

Publication date 12 February 2010

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2009.00280.X

zbMATH Keywords

dynamic modelsempirical processesexogeneitygoodness-of-fitlocal alternativesmartingale 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)

Recommendations

• Distribution free goodness-of-fit tests for linear processes
• Distribution-free tests for time series models specification
• Model specification testing of time series regressions
• Distribution-free specification tests of conditional models
• Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

Cites work

• Asymptotically optimal estimation in misspecified time series models
• Consistent Testing for Serial Correlation of Unknown Form
• Distribution free goodness-of-fit tests for linear processes
• scientific article; zbMATH DE number 3093751 (Why is no real title available?)
• Model Checks for Generalized Linear Models
• Model checks for regression: an innovation process approach
• On a measure of lack of fit in time series models
• ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S U_p-STATISTIC

Cited in

(5)

• Distribution-free tests for time series models specification
• Distribution- free test for slope in linear regression model with replications
• Specification tests for lattice processes
• A simple test for the consistency of dynamic linear regression in rational distributed lag models
• Specification tests of parametric dynamic conditional quantiles

This page was built for publication: Distribution-free specification tests for dynamic linear models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3406056)