A unified approach to validating univariate and multivariate conditional distribution models in time series
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Publication:2512595
DOI10.1016/j.jeconom.2013.08.004zbMath1293.62181OpenAlexW2139269622MaRDI QIDQ2512595
Publication date: 7 August 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.004
frequency domainkernel methodempirical distribution functionnon-Markovian processdiagnostic proceduregeneralized Cramer-von Mises testtime series conditional distribution model
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Order statistics; empirical distribution functions (62G30) Economic time series analysis (91B84)
Related Items
Multivariate specification tests based on a dynamic Rosenblatt transform ⋮ Bootstrap specification tests for dynamic conditional distribution models ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ A specification test for dynamic conditional distribution models with function-valued parameters
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