Distribution-free specification tests of conditional models
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Recommendations
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Cites work
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- A Conditional Kolmogorov Test
- A central limit theorem under contiguous alternatives
- A consistent test of conditional parametric distributions
- An innovation approach to goodness-of-fit tests in \(R^ m\)
- Asymptotic comparison of Cramér-von Mises and nonparametric function estimation techniques for testing goodness-of-fit
- Asymptotic properties of tests based on linear combinations of the orthogonal components of the Cramer-von Mises statistic
- Comparing nonparametric versus parametric regression fits
- Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
- Convergence of stochastic processes
- Data-Driven Rank Tests for Independence
- Goodness of fit problem and scanning innovation martingales
- Martingale transforms goodness-of-fit tests in regression models.
- Model Checks for Generalized Linear Models
- Model checks for regression: an innovation process approach
- Model checks under random censorship
- Nonparametric model checks for regression
- Nonparametric model checks for time series
- On Tests of Normality and Other Tests of Goodness of Fit Based on Distance Methods
- On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
- Remarks on a Multivariate Transformation
- Stochastic processes and statistical inference
- Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
- Tests based on linear combinations of the orthogonal components of the Cramer-von Mises statistic when parameters are estimated
- The Invariance Principle for a Lattice of Random Variables
- Weak convergence of the sample distribution function when parameters are estimated
- Weak convergence of the sequential empirical processes of residuals in ARMA models
- Weighted empirical processes in dynamic nonlinear models.
Cited in
(29)- Specification tests for nonlinear dynamic models
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Permutation test for heterogeneous treatment effects with a nuisance parameter
- New goodness-of-fit diagnostics for conditional discrete response models
- Multivariate specification tests based on a dynamic Rosenblatt transform
- A comparison of alternative approaches to supremum-norm goodness-of-fit tests with estimated parameters
- Testing multivariate distributions in GARCH models
- A specification test for dynamic conditional distribution models with function-valued parameters
- On the Asymptotic Efficiency of Directional Models Checks for Regression
- A consistent test for multivariate conditional distributions
- Distribution free testing for conditional distributions given covariates
- Nonparametric tests for conditional symmetry in dynamic models
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- Demand analysis as an ill-posed inverse problem with semiparametric specification
- Distribution-free tests for time series models specification
- Constructing smooth tests without estimating the eigenpairs of the limiting process
- Testing semiparametric conditional moment restrictions using conditional martingale transforms
- On the lack of power of omnibus specification tests
- Comments on: Model-free model-fitting and predictive distributions
- Distribution-free specification tests for dynamic linear models
- A general approach to conditional moment specification testing with projections
- SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA
- Testing constancy in varying coefficient models
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- Bootstrap specification tests for dynamic conditional distribution models
- Tests for conditional ellipticity in multivariate GARCH models
- Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View
- A goodness-of-fit test for copulas based on martingale transformation
- Bootstrap assisted specification tests for the ARFIMA model
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