Distribution-free tests for time series models specification

DOI10.1016/J.JECONOM.2009.09.022MaRDI QIDQ2630201zbMATH OpenOpenAlexFDO

Authors Miguel Delgado, Carlos I. Hoyos Velasco

Publication date 25 July 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/9070

zbMATH Keywords

specification teststime series modelsoptimal testsdynamic regression modelresiduals autocorrelation function

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3671536 (Why is no real title available?)
• scientific article; zbMATH DE number 3639008 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An exponential model for the spectrum of a scalar time series
• Distribution free goodness-of-fit tests for linear processes
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Distribution-free specification tests for dynamic linear models
• Efficient Tests of Nonstationary Hypotheses
• Inference For Autocorrelations Under Weak Assumptions
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• On a Theorem of Pitman
• On a measure of lack of fit in time series models
• Testing That a Dependent Process Is Uncorrelated
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Cited in

(7)

• scientific article; zbMATH DE number 4030770 (Why is no real title available?)
• Model specification testing of time series regressions
• A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation
• Distribution-free specification tests for dynamic linear models
• Misspecification tests based on quantile residuals
• Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
• An updated review of goodness-of-fit tests for regression models

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