Bootstrap conditional distribution tests in the presence of dynamic misspecification

DOI10.1016/j.jeconom.2005.06.013zbMath1345.62056OpenAlexW3122229406MaRDI QIDQ275263

Norman R. Swanson, Valentina Corradi

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

zbMATH Keywords

conditional distributionsblock bootstrapparameter estimation errorconditional Kolmogorov testsdynamic misspecification

Mathematics Subject Classification ID

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

Related Items

Maximum likelihood and the bootstrap for nonlinear dynamic models, TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS, Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data, The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series, Nonparametric tests for conditional symmetry in dynamic models, Predictive density and conditional confidence interval accuracy tests, A Consistent Test for Multivariate Conditional Distributions, New goodness-of-fit diagnostics for conditional discrete response models, Multivariate specification tests based on a dynamic Rosenblatt transform, Information ratio test for model misspecification on parametric structures in stochastic diffusion models, Bootstrap specification tests for dynamic conditional distribution models, SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS, Conditional predictive density evaluation in the presence of instabilities, Alternative tests for correct specification of conditional predictive densities, Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments, Combining inflation density forecasts, A unified approach to validating univariate and multivariate conditional distribution models in time series, Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators, Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations, Likelihood-based scoring rules for comparing density forecasts in tails, A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities, A specification test for dynamic conditional distribution models with function-valued parameters, Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

Cites Work

• Unnamed Item
• Unnamed Item
• Testing normality: a GMM approach
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Bootstrapping GMM estimators for time series
• A consistent bootstrap test for conditional density functions with time-series data
• Predictive density and conditional confidence interval accuracy tests
• On strong invariance principles under dependence assumptions
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• On the theory of elliptically contoured distributions
• On the blockwise bootstrap for empirical processes for stationary sequences
• Validity of blockwise bootstrap for empirical processes with stationary observations
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
• Consistent bootstrap tests of parametric regression functions
• Theoretical comparisons of block bootstrap methods
• The jackknife and the bootstrap for general stationary observations
• Robust out-of-sample inference
• A consistent test for nonlinear out of sample predictive accuracy.
• The blockwise bootstrap for general empirical processes of stationary sequences
• TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
• A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
• The Stationary Bootstrap
• A Conditional Kolmogorov Test
• Bootstrap tests: how many bootstraps?
• A Three-step Method for Choosing the Number of Bootstrap Repetitions
• A Reality Check for Data Snooping
• An introduction to econometric applications of empirical process theory for dependent random variables
• THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Asymptotic Inference about Predictive Ability
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Remarks on a Multivariate Transformation
• A consistent test for conditional symmetry in time series models
• Consistent specification testing for conditional moment restrictions
• Tests of equal forecast accuracy and encompassing for nested models
• Predictive ability with cointegrated variables