Distribution-free tests for time series models specification

DOI10.1016/J.JECONOM.2009.09.022zbMATH Open1431.62363OpenAlexW1996508528MaRDI QIDQ2630201FDOQ2630201

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

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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)

Cites Work

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• Distribution free goodness-of-fit tests for linear processes
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• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Efficient Tests of Nonstationary Hypotheses
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• An exponential model for the spectrum of a scalar time series
• On a Theorem of Pitman
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
• Distribution-free specification tests for dynamic linear models
• Title not available (Why is that?)
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Cited In (7)

• Title not available (Why is that?)
• 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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