A consistent bootstrap test for conditional density functions with time-series data
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Cites work
- scientific article; zbMATH DE number 3949496 (Why is no real title available?)
- A Conditional Kolmogorov Test
- A consistent test of conditional parametric distributions
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Central limit theorem for integrated square error of multivariate nonparametric density estimators
- Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
- Limiting behavior of U-statistics for stationary, absolutely regular processes
- Maximum Likelihood Estimation of Misspecified Models
- Mixing properties of ARMA processes
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- On U-statistics and v. mise? statistics for weakly dependent processes
- On some global measures of the deviations of density function estimates
- On the number of bootstrap simulations required to construct a confidence interval
- SUR UN MODÉLE AUTORÉGRESSIF NON LINÉAIRE, ERGODICITÉ ET ERGODICITÉ GÉOMÉTRIQUE
- Some mixing properties of time series models
- The mixing property of bilinear and generalised random coefficient autoregressive models
- Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions
Cited in
(19)- Bootstrap entropy test for general location-scale time series models with heteroscedasticity
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- Stationary bootstrap for kernel density estimators under -weak dependence
- Assessing the value of Hermite densities for predictive distributions
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Detecting for smooth structural changes in GARCH models
- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- Likelihood-based scoring rules for comparing density forecasts in tails
- A specification test for dynamic conditional distribution models with function-valued parameters
- Stationarity-based specification tests for diffusions when the process is nonstationary
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
- An updated review of goodness-of-fit tests for regression models
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Testing the parametric specification of the diffusion function in a diffusion process
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