A consistent bootstrap test for conditional density functions with time-series data
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Publication:275271
DOI10.1016/J.JECONOM.2005.06.016zbMATH Open1345.62073OpenAlexW2002527646MaRDI QIDQ275271FDOQ275271
Authors: Fuchun Li, Greg Tkacz 
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.2005.06.016
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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 \(\psi\)-weak dependence
- Assessing the value of Hermite densities for predictive distributions
- Detecting for smooth structural changes in GARCH models
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- A specification test for dynamic conditional distribution models with function-valued parameters
- Likelihood-based scoring rules for comparing density forecasts in tails
- 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
- Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
- Semi-nonparametric estimation and misspecification testing of diffusion models
- 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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