Model specification tests. A simultaneous approach
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Cites work
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- A Test for Normality of Observations and Regression Residuals
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- Differencing as a Test of Specification
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- On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
- Pooling as a Specification Error: A Comment
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- Some Properties of Tests for Specification Error in a Linear Regression Model
- Specification Tests in Econometrics
- Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
- Testing for multiplicative heteroskedasticity
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present
- Using Least Squares to Approximate Unknown Regression Functions
Cited in
(27)- Testing for heteroskedasticity in fixed effects models
- Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
- Tests for the error component model in the presence of local misspecification
- Hypothesis testing based on a vector of statistics
- Approximate maximum likelihood estimation in linear regression
- Simulataneous specicication test in a binary logit
- Misspecification tests and their uses in econometrics
- Testing for serial correlation in hierarchical linear models
- Stochastic filtering methods in electronic trading
- A test of the normality assumption in ordered probit model
- Monotonic improved critical values for two \(\chi^{2}\) asymptotic criteria
- Robust tests for heteroskedasticity in the one-way error components model
- Specification test for a linear regression model with ARCH process
- Should normality be a normal assumption?
- Statistics for image sharpening
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models
- Double-length regressions for linear and log-linear regressions with AR(1) disturbances
- A structured variational learning approach for switching latent factor models
- SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL
- Testing exclusion restrictions for a misspecified Tobit model
- A joint test for serial correlation and heteroscedasticity
- NON-LINEAR TIME SERIES MODELLING AND DISTRIBUTIONAL FLEXIBILITY
- Testing strategies for model specification
- A test of normality using nonparametrlic residuals
- Validation of long-term equity return models for equity-linked guarantees
- The information matrix test in the linear regression with ARMA errors
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