Bootstrap conditional distribution tests in the presence of dynamic misspecification

DOI10.1016/J.JECONOM.2005.06.013zbMATH Open1345.62056OpenAlexW3122229406MaRDI QIDQ275263FDOQ275263

Authors: Valentina Corradi, Norman R. Swanson 

Publication date: 25 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.013

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zbMATH Keywords

block bootstrapparameter estimation errorconditional distributionsconditional Kolmogorov testsdynamic misspecification

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40)

Cites Work

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Cited In (28)

• Predictive ability tests with possibly overlapping models
• Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
• A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
• A Two-Sample Conditional Distribution Test Using Conformal Prediction and Weighted Rank Sum
• Exact conditional tests and approximate bootstrap tests for the von Mises distribution
• Alternative tests for correct specification of conditional predictive densities
• Specification tests for multiplicative error models
• Information ratio test for model misspecification on parametric structures in stochastic diffusion models
• Conditional predictive density evaluation in the presence of instabilities
• Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
• Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
• Nonparametric tests for conditional symmetry in dynamic models
• Combining inflation density forecasts
• A specification test for dynamic conditional distribution models with function-valued parameters
• Likelihood-based scoring rules for comparing density forecasts in tails
• Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision
• Bootstrap specification tests for dynamic conditional distribution models
• Multivariate specification tests based on a dynamic Rosenblatt transform
• A consistent test for multivariate conditional distributions
• New goodness-of-fit diagnostics for conditional discrete response models
• A unified approach to validating univariate and multivariate conditional distribution models in time series
• Analysis of the conditional stock-return distribution under incomplete specification.
• Predictive density and conditional confidence interval accuracy tests
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
• Testing the parametric specification of the diffusion function in a diffusion process

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