A comparison of statistical tests for the adequacy of a neural network regression model

DOI10.1080/14697680903426573MaRDI QIDQ2873017zbMATH OpenOpenAlexFDO

Authors Nikos S. Thomaidis, Georgios Dounias

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680903426573

zbMATH Keywords

GARCH modelsLagrange multiplier testsMonte Carloneural networks

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Neural nets and related approaches to inference from stochastic processes (62M45) Statistical methods; risk measures (91G70)

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Cites work

• A general approach to Lagrange multiplier model diagnostics
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• Generalized autoregressive conditional heteroscedasticity
• LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS
• Misspecification tests and their uses in econometrics
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing for linear autoregressive dynamics under heteroskedasticity
• Testing the adequacy of smooth transition autoregressive models
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Cited in

(3)

• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
• Significance tests for neural networks

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