Multivariate specification tests based on a dynamic Rosenblatt transform

DOI10.1016/J.CSDA.2018.01.022MaRDI QIDQ1662851zbMATH OpenOpenAlexFDO

Authors Igor L. Kheifets

Publication date 20 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.10251

zbMATH Keywords

diagnostic testjoint distributionLSTAR modelmultivariate modelingRosenblatt transform

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Abstract: This paper considers parametric model adequacy tests for nonlinear multivariate dynamic models. It is shown that commonly used Kolmogorov-type tests do not take into account cross-sectional nor time-dependence structure, and a test, based on multi-parameter empirical processes, is proposed that overcomes these problems. The tests are applied to a nonlinear LSTAR-type model of joint movements of UK output growth and interest rate spreads. A simulation experiment illustrates the properties of the tests in finite samples. Asymptotic properties of the test statistics under the null of correct specification and under the local alternative, and justification of a parametric bootstrap to obtain critical values, are provided.

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Cited in

(3)

• Stationarity and ergodicity of vector STAR models
• A specification test for dynamic conditional distribution models with function-valued parameters
• Specification tests for lattice processes

Describes a project that uses

Uses Software

• R

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