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

DOI10.1080/14697680903426573zbMATH Open1278.91193OpenAlexW2023339493MaRDI QIDQ2873017FDOQ2873017

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

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zbMATH Keywords

Monte CarloGARCH modelsneural networksLagrange multiplier tests

Mathematics Subject Classification ID

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

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Testing for linear autoregressive dynamics under heteroskedasticity
• Artificial neural networks: an econometric perspective^∗
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• A general approach to Lagrange multiplier model diagnostics
• Misspecification tests and their uses in econometrics
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Testing the adequacy of smooth transition autoregressive models
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Diagnostic Checking in a Flexible Nonlinear Time Series Model
• A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• LM TESTS IN THE PRESENCE OF NON-NORMAL ERROR DISTRIBUTIONS

Cited In (2)

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

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